Publication:

Measuring Money Growth When Financial Markets are Changing

Thumbnail Image

Open/View Files

feldstein_measuringmoney.pdf (473.29 KB)

Date

1996

Authors

Published Version

10.1016/0304-3932(96)85156-7

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier Science B.V., Amsterdam
The Harvard community has made this article openly available. Please share how this access benefits you.

Research Projects

Organizational Units

Journal Issue

Citation

Feldstein, Martin, and James H. Stock. 1996. Measuring money growth when financial markets are changing. Journal of Monetary Economics 37(1): 3-27.

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.

Description

Other Available Sources

http://ideas.repec.org/p/nbr/nberwo/4888.html

Research Data

Keywords

switching regression, M2, time-varying parameter model, leading indicators, monetary aggregate

Terms of Use

This article is made available under the terms and conditions applicable to Other Posted Material (LAA), as set forth at Terms of Service

URI

http://nrs.harvard.edu/urn-3:HUL.InstRepos:2799053

Collections

FAS Scholarly Articles

Endorsement

Review

Supplemented By

Related Stories