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