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

Author

Listed:
  • Boni Sara

    (Free University of Bolzano-Bozen)

  • Iseringhausen Martin

    (European Stability Mechanism)

  • Petrella Ivan

    (Collegio Carlo Alberto and University of Turin, CEPR)

  • Theodoridis Konstantinos

    (European Stability Mechanism and Cardiff Business School)

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.

Suggested Citation

  • Boni Sara & Iseringhausen Martin & Petrella Ivan & Theodoridis Konstantinos, 2026. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working papers 107, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    • Handle: RePEc:tur:wpapnw:107
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    More about this item

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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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