This paper is a companion piece to Financial Globalization and Real Regionalization. We ask whether changing business cycle correlations over the period 1960 to 2002 mostly likely reflect financial integration or a changing shock process. To answer this question we use a calibrated model economy in which a single parameter value determines the extent of international financial integration. For one particular value of this parameter, allocations are equivalent to those under complete markets. For another they are equivalent to those when there is no international asset trade. A simple method of moments estimation procedure suggests that financial integration is the most important factor is key to accounting for the observed changes in international co-movement. There is little evidence of a change in the process for real shocks.