Uncertain and Asymmetric Forecasts

This paper develops distribution-based measures that extract policy-relevant information from subjective probability distributions beyond point forecasts. We introduce two complementary indicators that operationalize the second and third moments of beliefs. First, a Normalized Uncertainty measure applies a variance-stabilizing transformation that removes mechanical level effects around policy-relevant anchors. Empirically, uncertainty behaves as a state variable: it amplifies perceived de-anchoring following monetary-policy shocks and weakens and delays pass-through to credit conditions, particularly across loan maturities. Second, an Asymmetry Coherence indicator combines the median and skewness of subjective distributions to identify coherent directional tail risks. Directional asymmetry is largely orthogonal to uncertainty and is primarily reflected in monetary-policy responses rather than real activity. Overall, the results show that properly measured uncertainty governs state-dependent transmission, while distributional asymmetries convey distinct information about macroeconomic risks.