Measuring Money Growth When Financial Markets are Changing

DSpace/Manakin Repository

Measuring Money Growth When Financial Markets are Changing

Citable link to this page


Title: Measuring Money Growth When Financial Markets are Changing
Author: Stock, James; Feldstein, Martin

Note: Order does not necessarily reflect citation order of authors.

Citation: Feldstein, Martin, and James H. Stock. 1996. Measuring money growth when financial markets are changing. Journal of Monetary Economics 37(1): 3-27.
Full Text & Related Files:
Abstract: This article considers constructing monetary aggregates in the presence of financial market innovations and changes in the relationship between individual assets and output. We propose two procedures for constructing a monetary aggregate with the objective of providing a reliable monetary leading indicator of nominal GDP. In the first, subaggregates discretely switch in and out; in the second, the aggregate's growth is a time-varying weighted average of the growth of the subaggregates, where the weights follow a multivariate random walk. These procedures are used to examine augmenting M2 with stock and/or bond mutual funds. The alternative aggregates are broadly similar to M2, but during 1992–1993 they outperform M2.
Published Version:
Other Sources:
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at
Citable link to this page:
Downloads of this work:

Show full Dublin Core record

This item appears in the following Collection(s)


Search DASH

Advanced Search