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Authors:

• Graciela L. KAMINSKY
  and NBER

• Marco CIPRIANI

This paper analyzes the pattern of international financial integration by studying public and private gross issuance in international bond, equity, and syndicated loan markets of one hundred one countries since 1980. We develop and estimate a non stationary Bayesian dynamic latent factor model with one world factor and three market factors. The four factors account, on average, for about 50 percent of the variance of fluctuations in international issuance, an indication of substantial financial integration. Our results also suggest that Japan, Latin American countries, and the Middle East region stand our with respect to the rest of the world economy by exhibiting largely idiosyncratic patterns of issuance.