| 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 |