Measuring time-varying financial market integration: An unobserved components approach

► We analyze financial market integration among five developed countries over 1970-2011. ► The degree of integration is allowed to vary over time. ► Empirical specification is based on an unobserved components model with GARCH errors. ► We find a structural increase in financial market integration in four out of five countries. ► All countries also exhibit several shorter periods of disintegration.