Measuring Money Growth When Financial Markets are Changing

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Measuring Money Growth When Financial Markets are Changing

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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.
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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: http://dx.doi.org/10.1016/0304-3932(96)85156-7
Other Sources: http://ideas.repec.org/p/nbr/nberwo/4888.html
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:2799053

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  • FAS Scholarly Articles [7105]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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