Measuring money growth when financial markets are changing

• 成果类型: Article
• 署名作者: Feldstein, M; Stock, JH
• 署名单位: Harvard University; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(96)85156-7
• 发表日期: 1996
• 页码: 3-27
• 关键词: monetary aggregate; M2; time-varying parameter model; switching regression; leading indicators

摘要

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 1992-93 they outperform M2.