Dynamic measures of synchronisation in the euro area : 2016 edition

In this paper we propose two dynamic approaches to measure synchronisation in the Euro area. First of all to be able to take into account dynamics in correlation and possible changes in variability, we consider a multivariate DCC GARCH model. Secondly, we propose to use the set of probabilistic coincident indicators for the Member countries constructed in Anas et al (forthcoming) to define "probabilistic concordance indicators" of the business and growth cycles: by taking their distance to the probabilistic coincident indicators (of the business and growth cycles) of the Euro area (the GCCI and BCCI, see Anas et al 2008) it is possible to define a real time measure of synchronisation.