| Panel A: IVA | Panel B: PMI | ||
SRI (−12) | CoVaR (−12) | SRI (−12) | CoVaR (−12) | |
Risk < Threshold | 5.8586* (2.9875) | 3.9397*** (1.3193) | −6.8007*** (2.5500) | 2.0236 (1.4138) |
Risk > Threshold | −13.8318** (3.0423) | −5.3336*** (0.9492) | −10.6128*** (2.7449) | −2.2606 (2.2020) |
Ret (−12) | 1.4266 (2.7980) | 3.3168 (2.997) | 0.7488 (1.9764) | 0.6273 (2.3181) |
Vol (−12) | 0.0691 (3.3606) | 5.3413 (3.9034) | 1.6275 (2.0375) | 0.0088 (2.193) |
M2 (−12) | 0.2951*** (0.0616) | 0.4772*** (0.0629) | 0.169*** (0.0412) | 0.1325*** (0.0382) |
Term (−12) | 1.7783*** (0.6386) | 1.2432* (0.655) | 0.097 (0.442) | 0.3085 (0.4022) |
Credit (−12) | −1.9716*** (0.3117) | −2.2231*** (0.1982) | −0.6954*** (0.2140) | −1.2179*** (0.1530) |
Con | 1.9038 (1.881) | 1.626 (1.8836) | 5.5326*** (1.6146) | −0.4776 (1.6553) |
Threshold | 0.6193 | 1.5412 | 0.8936 | 1.3755 |
Threshold test value | 5.2571** | 16.5900*** | 17.9900*** | 4.0702 |
Observations | 191 | 191 | 191 | 191 |