Panel A: IVA

Panel B: PMI

SRI (−1)

CoVaR (−1)

SRI (−1)

CoVaR (−1)

Risk < Threshold

−3.2174

(3.7677)

3.0249**

(1.5199)

1.8284

(3.6917)

−0.0642

(0.4642)

Risk > Threshold

−10.898**

(4.3635)

−4.9982***

(1.185)

−7.5424**

(3.4738)

−0.6934

(0.9807)

Ret (−1)

−3.3253

(3.0813)

−2.0721

(3.4339)

1.2076

(1.6954)

0.9679

(1.5813)

Vol (−1)

−2.4192

(3.3758)

3.9692

(4.1739)

−4.8283***

(1.874)

−2.9815

(2.2083)

M2 (−1)

0.4934***

(0.0592)

0.7565***

(0.0485)

0.1788***

(0.0414)

0.2472***

(0.0335)

Term (−1)

−0.8054

(0.5956)

−1.3022**

(0.5594)

0.2437

(0.3559)

0.1295

(0.3389)

Credit (−1)

−2.0303***

(0.3933)

−2.1462***

(0.257)

−1.4893***

(0.1752)

−1.2612***

(0.1319)

Con

12.2855***

(2.4403)

1.5665

(1.8405)

1.3403

(2.3562)

1.4027*

(0.7953)

Threshold

0.9486

1.765

0.9858

2.8648

Threshold test value

7.538***

20.262***

10.925***

3.138

Observations

191

191

191

191