Industry Characteristics and Financial Risk Spillovers

Wan-Chien Chiua, Juan Ignacio Pe\~na and Chih-Wei Wang

Papers from arXiv.org

Abstract: 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.

Date: 2022-02
New Economics Papers: this item is included in nep-fdg and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2202.02263 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.02263

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().