This paper presents risk indicators for GDP and inflation in the euro area and in its main Member States, as well as risk indices for divergence between countries. The indicators are estimated by means of a quantile regression model, leveraging a large dataset on the 2002-2023 period, and provide information on tail outcomes of GDP growth and inflation.
GDP growth conditional distributions display considerable asymmetry: while the left tail varies significantly in time, the right tail remains more stable; inflation distributions are comparatively more symmetrical and stable. The GDP-at-Risk of euro-area Member States tends to be less synchronous during periods of crisis, suggesting that recessions are associated with higher risks of divergence between countries. High inflation risks, on the contrary, appear more synchronous.
