Continuing this series ([1], [2]), I did a principal component analysis of long term interest rates (in [2], it was short term interest rates) in the macrohistory database [0] and came to roughly the same conclusion: the US is the dominant component vector. Interestingly, the distant runner up is actually Finland. It seems Finland's interest rate history is unique enough to warrant its own component.
There are no IT models here because the relevant monetary data (either MZM or base money minus reserves) is not in the macrohistory database.
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Footnotes:
[0] Òscar Jordà, Moritz Schularick, and Alan M. Taylor. 2017. “Macrofinancial History and the New Business Cycle Facts.” in NBER Macroeconomics Annual 2016, volume 31, edited by Martin Eichenbaum and Jonathan A. Parker. Chicago: University of Chicago Press.
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