Cross-country dependence and financial integration in the last 150 years
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Aslanidis, N., Papadakis, H. (2025): "Cross-country dependence and financial integration in the last 150 years", Empirical Economics, 69:1779–1820
Over the last two centuries, the international financial system has undergone significant developments, with key historical events shaping financial markets and economies worldwide. We offer a new long-term perspective on international financial market integration using a flexible dynamic panel approach that accommodates heterogeneous slope coefficients while accounting for cross-country dependence.
Our analysis uncovers several interesting findings. For real long-term interest rates, we observe a distinct U-shaped pattern. In contrast, the integration of global financial markets for equities has significantly increased in recent years. Additionally, long-term nominal interest rates and bond markets have become considerably more integrated since the Bretton Woods era, exhibiting a J-shaped pattern throughout the period under study.
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Nektarios Aslanidis
Charalampos Papadakis