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Financial Market Integration Over the Long Run: Is there a U-shape?

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Author Info
Vadym Volosovych () (Department of Economics, College of Business, Florida Atlantic University)

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Abstract

I show that the principal components analysis can be used to quantify the degree of economic integration, trace its evolution over time, and capture episodes of market segmentation. Based on long series of sovereign bond data for fifteen industrialized economies I document clear evidence of higher financial markets integration at the end of the 20th century compared to the earlier periods (J -shaped trend with a trough as early as the 1920s). Countries’ sovereign bond markets were much more segmented prior to World War I than in the following periods.

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Publisher Info
Paper provided by Department of Economics, College of Business, Florida Atlantic University in its series Working Papers with number 05001.

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Length: 38 pages
Date of creation: Jul 2005
Date of revision: Feb 2007
Handle: RePEc:fal:wpaper:05001

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Related research
Keywords: financial markets integration; principal components; sovereign bonds;

Find related papers by JEL classification:
F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
N2 - Economic History - - Financial Markets and Institutions

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