  This paper proposes a new measure of tail risk spillover. The empirical
application provides evidence of significant volatility and tail risk
spillovers from the financial sector to many real economy sectors in the U.S.
economy in the period from 2001 to 2011. These spillovers increase in crisis
periods. The conditional coexceedance in a given sector is positively related
to its amount of debt financing, and negatively related to its relative
valuation and investment. Real economy sectors which require substantial
external financing, and whose value and investment activity are relatively
lower, are prime candidates for depreciation in the wake of crisis in the
financial sector.
