On the global financial market integration “swoosh” and the trilemma

Geert Bekaert and Arnaud Mehl

Journal of International Money and Finance, 2019, vol. 94, issue C, 227-245

Abstract: We propose a measure of financial market integration based on a factor model of equity returns computed back to the first era of financial globalization for 17 countries. Global financial integration follows a “swoosh” shape – high pre-1913, higher post-1990, low in the interwar period – rather than other shapes hypothesized in earlier literature. We find no evidence of financial globalization reversing since the Great Recession, as claimed in other recent studies. We use our measure to revisit the debate on whether the classic monetary policy trilemma has recently morphed into a dilemma and find no evidence for such change.

Keywords: Financial globalization and deglobalization; Market integration; Factor model; U-shape vs. J-shape hypotheses; Monetary policy trilemma; Dilemma hypothesis (search for similar items in EconPapers)
JEL-codes: E52 F3 N2 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560619300750
Full text for ScienceDirect subscribers only

Related works:
Working Paper: On the Global Financial Market Integration “Swoosh” and the Trilemma (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245

DOI: 10.1016/j.jimonfin.2019.02.001

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().