Aggregate activity exhibits tail risks. That is, the distribution of aggregate fluctuations has fatter tails than that of a normally distributed random variable. Understanding these tail risks is important for multiple macroeconomic topics, including evaluating the utility cost of fluctuations (Barro, 2009), and forecasting (Curdia, Del Negro, and Greenwald, 2014). In this paper, we empirically investigate whether higher moments have sectoral origins.