@techreport{NBERw4888,
 title = "Measuring Money Growth When Financial Markets Are Changing",
 author = "James H. Stock and Martin Feldstein",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4888",
 year = "1994",
 month = "October",
 URL = "http://www.nber.org/papers/w4888",
 abstract = {This paper examines the problem of measuring the growth of a monetary aggregate in the presence of innovations in financial markets and changes in the relationship between individual assets and output. We propose constructing a monetary aggregate so that it is a good leading indicator of nominal GDP; in general the weights on its components vary over time.  We investigate two specific procedures: one in which subaggregates discretely switch in and out, and one in which the growth of the aggregate is a time-varying weighted average of the growth of the subaggregates, where the weights follow a random walk.  These procedures are used to construct aggregates which potentially augment M2 with stock and/or bond mutual funds.  Over 1960-1991, the time-varying aggregates look much like M2, but during 1992-93 the time-varying aggregates outperform M2.},
}