A survey-based measure of asymmetric macroeconomic risk in the euro area

Sara Boni (), Martin Iseringhausen (), Ivan Petrella and Konstantinos Theodoridis ()
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Sara Boni: Free University of Bolzano-Bozen
Martin Iseringhausen: European Stability Mechanism
Konstantinos Theodoridis: European Stability Mechanism and Cardiff Business School

No 107, Working papers from Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino

Abstract: We compute a common factor summarising asymmetries in the expected distributions of a large set of survey-based economic data series for the euro area. This expected skewness factor is distinct from lower-moment factors and can help improve forecasts of risks to economic activity and inflation. In addition, within a monthly vector autoregression (VAR), we show that revisions to survey-based expected skewness have macroeconomic and financial implications, even when the average assessment and expected volatility reflected in the surveys remain unchanged. The skewness measure could benefit economic policy institutions by supporting timely quantitative assessments of the balance of risks.

Keywords: Economic sentiment; principal components; quantile regression; skewness (search for similar items in EconPapers)
JEL-codes: C22 C38 E66 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2026-07
New Economics Papers: this item is included in nep-eec
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Persistent link: https://EconPapers.repec.org/RePEc:tur:wpapnw:107

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