Extending the forward systemic risk measure: Do sector level variables matter?

Figures & data

Table

Variable	Measurements	Empirical Evidence	Expected Influence
Sector Level Determinants
Munificence	1. Regressing time against the Sales of sector over the period of study, and 2. Taking the ratio of the regression slope coefficient to the mean value of sales over the same period.	Boyd (1995), Kayo and Kimura (2011)	Positive
Dynamism	Standard error of munificent slope coefficient divided by the mean value of sales over the same period.	Boyd (1995), Kayo and Kimura (2011)	Negative
Concentration	HHI is the sum of the squares of the market shares (assets) of each bank in the financial system	Anginer et al. (2014) Chen et al. (2017)	Negative

Table 1. Descriptive statistics of state level variables

Variable	Obs	Mean	Std. Dev.	Min	Max
Term Spread	911	1.4624	1.2417	−3.2191	4.3208
Change in T-bill Rate	911	0.0032	0.3207	−3.7503	2.6294
Market Return	911	0.3590	3.0743	−18.2103	11.5575
Rolling SD	911	0.6306	0.9811	0.0104	5.1289
Inflation	911	2.0464	0.9930	0.3212	4.7307
Change Spread	911	−5.0045	2.1590	− 8.6500	0.3200

Note: The table shows weekly statistics of state variables incorporated for the measurement of $\mathrm{\Delta }Co\hat{V}a{R}_{99t}^{System}$.

Table 2. Summary statistics of institution and sector level variables

Variable	Mean	Std. Dev.	Min	Max
Munificence	0.1101	0.0662	0.1031	0.1201
Concentration	997.027	32.990	932.721	1061.274
Dynamism	0.0212	0.003	0.0201	0.0213
Size	8.442	2.735	8.124	8.753
Leverage	0.8162	0.7793	0.7904	0.8229
Market to book Value	1.638	0.5563	1.4283	1.889

Table 3. Forward and contemporaneous CoVaR (without sector level variables)

	2008 Realized CoVaR	2008 Realized CoVaR
2 Year Forward CoVaR	0.8917*** (0.0685)
1 Year forward CoVaR		2.0634***(0.14754)
Constant	0.6583**(0.3268)	0.9387**(0.4183)
R2	0.2599	0.3306

Table 4. Forward and contemporaneous CoVaR (with sector level variables)

	2008 Realized CoVaR	2008 Realized CoVaR
2 Year Forward CoVaR	0.9877**(0.2701)
1 Year forward CoVaR		2.2400*** (0.3860)
Constant	0.4050***(0.1802)	0.84387***(0.2297)
R2	0.3887	0.4922

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