In 1922 he founded the “
Pan-European” movement in Vienna, which aimed to create a New World Order, based on a federation of nations led by the United States. European integration would be the first step in creating a world government. Among the first supporters, including Czech politicians Tomáš Masaryk and Edvard Beneš and the banker Max Warburg, who invested the first 60,000 marks.
Coudenhove-Kalergi in his autobiography:
"At the beginning of 1924, we received a call from Baron Louis de Rothschild; one of his friends, Max Warburg from Hamburg, had read my book and wanted to get to know us. To my great surprise, Warburg spontaneously offered us 60,000 gold marks, to tide the movement over for its first three years ....
Max Warburg, who was one of the most distinguished and wisest men that I have ever come into contact with, had a principle of financing these movements. He remained sincerely interested in Pan-Europe for his entire life. Max Warburg arranged his 1925 trip to the United States to introduce me to Paul Warburg and financier Bernard Baruch."