A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area

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.