Details about Nelson Mark

Homepage:	http://www.nd.edu/~nmark/
Postal address:	Department of Economics and Econometrics University of Notre Dame 437 Flanner Hall Notre Dame, IN 46656
Workplace:	Department of Economics, University of Notre Dame, (more information at EDIRC)

Access statistics for papers by Nelson Mark.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pma186

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Working Papers

2023

1. GDP and Temperature: Evidence on Cross-Country Response Heterogeneity
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2020

2. Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article UNCERTAINTY, LONG‐RUN, AND MONETARY POLICY RISKS IN A TWO‐COUNTRY MACRO MODEL, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2024) (2024)

2019

3. Demographics and Monetary Policy Shocks
   2019 Meeting Papers, Society for Economic Dynamics View citations (8)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (6)
   See also Journal Article Demographics and Monetary Policy Shocks, Journal of Money, Credit and Banking, Blackwell Publishing (2021) View citations (5) (2021)

2017

4. Global Macro Risks in Currency Excess Returns
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Staff Working Papers, Bank of Canada (2016) View citations (6)
   See also Journal Article Global macro risks in currency excess returns, Journal of Empirical Finance, Elsevier (2018) View citations (23) (2018)
5. Identifying Exchange Rate Common Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Journal Article IDENTIFYING EXCHANGE RATE COMMON FACTORS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2018) View citations (29) (2018)
6. Measures of Global Uncertainty and Carry-Trade Excess Returns
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
   See also Journal Article Measures of global uncertainty and carry-trade excess returns, Journal of International Money and Finance, Elsevier (2018) View citations (31) (2018)

2015

7. Demographics and Aggregate Household Saving in Japan, China, and India
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
   See also Journal Article Demographics and aggregate household saving in Japan, China, and India, Journal of Macroeconomics, Elsevier (2017) View citations (36) (2017)

2014

8. Precautionary Saving of Chinese and U.S. Households
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
   See also Journal Article Precautionary Saving of Chinese and U.S. Households, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (22) (2017)

2013

9. The Role of Household Saving in the Economic Rise of China
   Working Papers, Hong Kong Institute for Monetary Research View citations (8)
   Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (5)
10. The Size of the Precautionary Component of Household Saving: China and the U.S
    2013 Meeting Papers, Society for Economic Dynamics
11. Third-Country Effects on the Exchange Rate
    2013 Meeting Papers, Society for Economic Dynamics View citations (6)
    See also Journal Article Third-country effects on the exchange rate, Journal of International Economics, Elsevier (2015) View citations (15) (2015)

2012

12. Demographic Patterns and Household Saving in China
    Working Papers, University of Notre Dame, Department of Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (45)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (33)
    See also Journal Article Demographic Patterns and Household Saving in China, American Economic Journal: Macroeconomics, American Economic Association (2015) View citations (114) (2015)
13. Exchange Rates as Exchange Rate Common Factors
    Working Papers, University of Notre Dame, Department of Economics View citations (19)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2012) View citations (22)
14. Factor Model Forecasts of Exchange Rates
    Working Papers, University of Notre Dame, Department of Economics View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (20)
    See also Journal Article Factor Model Forecasts of Exchange Rates, Econometric Reviews, Taylor & Francis Journals (2015) View citations (83) (2015)

2010

15. Business Cycles, Consumption and Risk-Sharing: How Different Is China?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
16. The equity premium and the risk-free rate: matching the moments
    Levine's Working Paper Archive, David K. Levine View citations (14)
    See also Journal Article The equity premium and the risk-free rate: Matching the moments, Journal of Monetary Economics, Elsevier (1993) View citations (129) (1993)

2009

17. Trending Current Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2007

18. Endogenous Discounting, the World Saving Glut and the U.S. Current Account
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article Endogenous discounting, the world saving glut and the U.S. current account, Journal of International Economics, Elsevier (2008) View citations (53) (2008)
19. Exchange Rate Models Are Not as Bad as You Think
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (350)
    See also Chapter Exchange Rate Models Are Not as Bad as You Think, NBER Chapters, National Bureau of Economic Research, Inc (2008) View citations (138) (2008)

2005

20. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (99) (2009)
21. Effective Exchange Rate Classifications and Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)

2004

22. Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models
    Econometrics, University Library of Munich, Germany View citations (7)
23. Dynamic Seemingly Unrelated Cointegrating Regression
    Working Papers, Ohio State University, Department of Economics View citations (12)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2003) View citations (18)
    Working Papers, Department of Economics, The University of Auckland (2003) View citations (9)
    See also Journal Article Dynamic Seemingly Unrelated Cointegrating Regressions, The Review of Economic Studies, Review of Economic Studies Ltd (2005) View citations (100) (2005)
24. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (8)
25. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in Finance, University Library of Munich, Germany (2004) View citations (3)
26. Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (58) (2006)

2002

27. Asymptotic Power Advantages of Long-Horizon Regressions
    Working Papers, Department of Economics, The University of Auckland View citations (2)
28. Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (37)
    See also Journal Article Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (431) (2003)
29. Panel Dynamic OLS Cointegration Vector Estimation and Long-Run Money Demand
    Working Papers, Department of Economics, The University of Auckland View citations (2)

2000

30. Price Level Convergence Among United States Cities: Lessons for the European Central Bank
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (70)
    Also in Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (1998) View citations (17)
    Working Papers, Ohio State University, Department of Economics (1999) View citations (10)

1998

31. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?
    Working Papers, Ohio State University, Department of Economics View citations (2)
    Also in Working Papers, Ohio State University, Department of Economics (1997) View citations (2)
32. Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?, American Economic Review, American Economic Association (2000) View citations (252) (2000)
33. Fundamentals of the Real Dollar-Pound Rate: 1871-1994
    Working Papers, Ohio State University, Department of Economics View citations (1)
34. Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel
    Working Papers, Ohio State University, Department of Economics View citations (6)
    See also Journal Article Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel, Journal of International Economics, Elsevier (2001) View citations (337) (2001)
35. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Working Papers, Ohio State University, Department of Economics View citations (112)
    See also Journal Article Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise, Economic Journal, Royal Economic Society (1998) View citations (112) (1998)

1997

36. Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)

1992

37. Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns, Journal of Finance, American Finance Association (1994) View citations (35) (1994)

1988

38. Mean Reversion in Equilibrium Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (165)
    See also Journal Article Mean Reversion in Equilibrium Asset Prices, American Economic Review, American Economic Association (1990) View citations (259) (1990)

Journal Articles

2024

1. UNCERTAINTY, LONG‐RUN, AND MONETARY POLICY RISKS IN A TWO‐COUNTRY MACRO MODEL
   International Economic Review, 2024, 65, (3), 1387-1413
   See also Working Paper Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model, NBER Working Papers (2020) (2020)

2021

2. Demographics and Monetary Policy Shocks
   Journal of Money, Credit and Banking, 2021, 53, (6), 1229-1266 View citations (5)
   See also Working Paper Demographics and Monetary Policy Shocks, 2019 Meeting Papers (2019) View citations (8) (2019)

2019

3. Where’s the Risk? The Forward Premium Bias, the Carry-Trade Premium, and Risk-Reversals in General Equilibrium
   Journal of International Money and Finance, 2019, 95, (C), 297-316 View citations (2)

2018

4. Global macro risks in currency excess returns
   Journal of Empirical Finance, 2018, 45, (C), 300-315 View citations (23)
   See also Working Paper Global Macro Risks in Currency Excess Returns, NBER Working Papers (2017) (2017)
5. IDENTIFYING EXCHANGE RATE COMMON FACTORS
   International Economic Review, 2018, 59, (4), 2193-2218 View citations (29)
   See also Working Paper Identifying Exchange Rate Common Factors, NBER Working Papers (2017) View citations (9) (2017)
6. Measures of global uncertainty and carry-trade excess returns
   Journal of International Money and Finance, 2018, 88, (C), 212-227 View citations (31)
   See also Working Paper Measures of Global Uncertainty and Carry-Trade Excess Returns, GRU Working Paper Series (2017) (2017)

2017

7. Demographics and aggregate household saving in Japan, China, and India
   Journal of Macroeconomics, 2017, 51, (C), 175-191 View citations (36)
   See also Working Paper Demographics and Aggregate Household Saving in Japan, China, and India, NBER Working Papers (2015) View citations (6) (2015)
8. Precautionary Saving of Chinese and U.S. Households
   Journal of Money, Credit and Banking, 2017, 49, (4), 635-661 View citations (22)
   See also Working Paper Precautionary Saving of Chinese and U.S. Households, NBER Working Papers (2014) View citations (10) (2014)

2015

9. Demographic Patterns and Household Saving in China
   American Economic Journal: Macroeconomics, 2015, 7, (2), 58-94 View citations (114)
   See also Working Paper Demographic Patterns and Household Saving in China, Working Papers (2012) (2012)
10. Factor Model Forecasts of Exchange Rates
    Econometric Reviews, 2015, 34, (1-2), 32-55 View citations (83)
    See also Working Paper Factor Model Forecasts of Exchange Rates, Working Papers (2012) View citations (22) (2012)
11. Third-country effects on the exchange rate
    Journal of International Economics, 2015, 96, (2), 227-243 View citations (15)
    See also Working Paper Third-Country Effects on the Exchange Rate, 2013 Meeting Papers (2013) View citations (6) (2013)

2011

12. LINKAGES BETWEEN EXCHANGE RATE POLICY AND MACROECONOMIC PERFORMANCE
    Pacific Economic Review, 2011, 16, (4), 395-420 View citations (13)

2010

13. A multinomial logit approach to exchange rate policy classification with an application to growth
    Journal of International Money and Finance, 2010, 29, (7), 1438-1462 View citations (17)
14. Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment
    Oxford Bulletin of Economics and Statistics, 2010, 72, (5), 567-599 View citations (25)

2009

15. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
    Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 View citations (99)
    Also in Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 (2009) View citations (12)
    See also Working Paper Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics, NBER Working Papers (2005) View citations (21) (2005)

2008

16. Endogenous discounting, the world saving glut and the U.S. current account
    Journal of International Economics, 2008, 75, (1), 30-53 View citations (53)
    See also Working Paper Endogenous Discounting, the World Saving Glut and the U.S. Current Account, NBER Working Papers (2007) View citations (17) (2007)

2007

17. Official interventions and the forward premium anomaly
    Journal of Empirical Finance, 2007, 14, (4), 499-522 View citations (13)

2006

18. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175
19. Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
    Journal of Money, Credit and Banking, 2006, 38, (4), 921-938 View citations (58)
    See also Working Paper Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data, NBER Working Papers (2004) View citations (22) (2004)

2005

20. Dynamic Seemingly Unrelated Cointegrating Regressions
    The Review of Economic Studies, 2005, 72, (3), 797-820 View citations (100)
    See also Working Paper Dynamic Seemingly Unrelated Cointegrating Regression, Working Papers (2004) View citations (12) (2004)
21. Exchange Rate Economics: By Lucio Sarno and Mark P. Taylor, Cambridge University Press, 2003
    Journal of International Economics, 2005, 65, (2), 537-540 View citations (1)
22. The real exchange rate and real interest differentials: the role of nonlinearities
    International Journal of Finance & Economics, 2005, 10, (4), 323-335 View citations (13)

2003

23. Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand
    Oxford Bulletin of Economics and Statistics, 2003, 65, (5), 655-680 View citations (431)
    See also Working Paper Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand, NBER Technical Working Papers (2002) View citations (37) (2002)

2002

24. Price Index Convergence Among United States Cities
    International Economic Review, 2002, 43, (4), 1081-1099 View citations (203)

2001

25. Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel
    Journal of International Economics, 2001, 53, (1), 29-52 View citations (337)
    See also Working Paper Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel, Working Papers (1998) View citations (6) (1998)

2000

26. Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
    American Economic Review, 2000, 90, (4), 787-805 View citations (252)
    See also Working Paper Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?, NBER Working Papers (1998) View citations (2) (1998)

1998

27. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Economic Journal, 1998, 108, (451), 1686-1706 View citations (112)
    See also Working Paper Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise, Working Papers (1998) View citations (112) (1998)

1997

28. Frequency Domain Tests for Residual Serial Correlation in Cointegration Regressions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 549-62 View citations (3)
29. Real exchange-rate prediction over long horizons
    Journal of International Economics, 1997, 43, (1-2), 29-60 View citations (70)
30. Understanding Spot and Forward Exchange Rate Regressions
    Journal of Applied Econometrics, 1997, 12, (6), 715-34 View citations (79)

1996

31. Alternative Long-Horizon Exchange-Rate Predictors
    International Journal of Finance & Economics, 1996, 1, (4), 229-50 View citations (21)
32. The Economic Content of Indicators of Developing Country Creditworthiness
    IMF Staff Papers, 1996, 43, (4), 688-724 View citations (79)

1995

33. Context†Dependence of Auditors' Interpretations of the SFAS No. 5 Probability Expressions*
    Contemporary Accounting Research, 1995, 12, (1), 25-39
34. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability
    American Economic Review, 1995, 85, (1), 201-18 View citations (698)

1994

35. Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
    Journal of Finance, 1994, 49, (1), 123-52 View citations (35)
    See also Working Paper Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns, NBER Technical Working Papers (1992) View citations (13) (1992)

1993

36. Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability: Erratum
    International Economic Review, 1993, 34, (2), 459
37. The equity premium and the risk-free rate: Matching the moments
    Journal of Monetary Economics, 1993, 31, (1), 21-45 View citations (129)
    See also Working Paper The equity premium and the risk-free rate: matching the moments, Levine's Working Paper Archive (2010) View citations (14) (2010)

1992

38. Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability
    International Economic Review, 1992, 33, (1), 223-37 View citations (8)

1991

39. Testing the CAPM with Time-Varying Risks and Returns
    Journal of Finance, 1991, 46, (4), 1485-1505 View citations (66)

1990

40. Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations
    American Economic Review, 1990, 80, (2), 48-51 View citations (26)
41. Mean Reversion in Equilibrium Asset Prices
    American Economic Review, 1990, 80, (3), 398-418 View citations (259)
    See also Working Paper Mean Reversion in Equilibrium Asset Prices, NBER Working Papers (1988) View citations (165) (1988)
42. Real and nominal exchange rates in the long run: An empirical investigation
    Journal of International Economics, 1990, 28, (1-2), 115-136 View citations (201)

1988

43. The International Transmission of Real Business Cycles
    International Economic Review, 1988, 29, (3), 493-507 View citations (52)
44. Time-varying betas and risk premia in the pricing of forward foreign exchange contracts
    Journal of Financial Economics, 1988, 22, (2), 335-354 View citations (60)

1987

45. International debt and world business fluctuations
    Journal of International Money and Finance, 1987, 6, (2), 153-165 View citations (4)

1985

46. A Note on International Real Interest Rate Differentials
    The Review of Economics and Statistics, 1985, 67, (4), 681-84 View citations (11)
47. On time varying risk premia in the foreign exchange market: An econometric analysis
    Journal of Monetary Economics, 1985, 16, (1), 3-18 View citations (62)
48. Some evidence on the international inequality of real interest rates
    Journal of International Money and Finance, 1985, 4, (2), 189-208 View citations (90)

Chapters

2011

1. Chapter 1 Business Cycles, Consumption, and Risk Sharing: How Different Is China?
   A chapter in The Evolving Role of Asia in Global Finance, 2011, pp 3-22

2008

2. Exchange Rate Models Are Not as Bad as You Think
   A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 381-441 View citations (138)
   See also Working Paper Exchange Rate Models Are Not as Bad as You Think, National Bureau of Economic Research, Inc (2007) View citations (350) (2007)