List of study variables
| Variable | Proxy | Variable type |
|---|---|---|
| Systemic Risk | CoVaR/ΔCoVaR | Dependent |
| Size | Log of total assets | Independent (Primary) |
| Shadow banking class | Fixed-income funds/fund-of-funds/money market funds/multi-asset funds | Independent (Secondary) |
| Sponsor | Bank/insurance/asset managers | Independent (Secondary) |
| Investor | Institutional/retail | Independent (Secondary) |
| Interconnectedness | The total number of in–ward and out-ward connections for individual funds | Control variable |
| Volatility | Returns standard deviation | Control variable |
| Variable | Proxy | Variable type |
|---|---|---|
| Systemic Risk | CoVaR/ΔCoVaR | Dependent |
| Size | Log of total assets | Independent (Primary) |
| Shadow banking class | Fixed-income funds/fund-of-funds/money market funds/multi-asset funds | Independent (Secondary) |
| Sponsor | Bank/insurance/asset managers | Independent (Secondary) |
| Investor | Institutional/retail | Independent (Secondary) |
| Interconnectedness | The total number of in–ward and out-ward connections for individual funds | Control variable |
| Volatility | Returns standard deviation | Control variable |
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