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

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  • Martin Iseringhausen
  • Konstantinos Theodoridis

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.
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Suggested Citation

  • Martin Iseringhausen & Konstantinos Theodoridis, 2025. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working Papers 68, European Stability Mechanism, revised 11 Feb 2025.
    • Handle: RePEc:stm:wpaper:68
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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