Measuring Money Growth When Financial Markets are Changing
| 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: |
feldstein_measuringmoney.pdf (484.6Kb; PDF) 
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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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Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
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