Details about Nelson Mark

E-mail:
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 2020-09-12. Update your information in the RePEc Author Service.

Short-id: pma186

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Working Papers

2020

1. Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

2. Demographics and Monetary Policy Shocks
   2019 Meeting Papers, Society for Economic Dynamics View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (3)

2017

3. 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 (7)
   See also Journal Article in Journal of Empirical Finance (2018)
4. Identifying Exchange Rate Common Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article in International Economic Review (2018)
5. 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 in Journal of International Money and Finance (2018)

2015

6. Demographics and Aggregate Household Saving in Japan, China, and India
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
   See also Journal Article in Journal of Macroeconomics (2017)

2014

7. Precautionary Saving of Chinese and U.S. Households
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   See also Journal Article in Journal of Money, Credit and Banking (2017)

2013

8. The Role of Household Saving in the Economic Rise of China
   Working Papers, Hong Kong Institute for Monetary Research View citations (1)
   Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (5)
9. The Size of the Precautionary Component of Household Saving: China and the U.S
   2013 Meeting Papers, Society for Economic Dynamics
10. Third-Country Effects on the Exchange Rate
    2013 Meeting Papers, Society for Economic Dynamics View citations (4)
    See also Journal Article in Journal of International Economics (2015)

2012

11. 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 (27)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (14)
    See also Journal Article in American Economic Journal: Macroeconomics (2015)
12. Exchange Rates as Exchange Rate Common Factors
    Working Papers, Hong Kong Institute for Monetary Research View citations (18)
    Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (14)
13. Factor Model Forecasts of Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (14)
    See also Journal Article in Econometric Reviews (2015)

2010

14. Business Cycles, Consumption and Risk-Sharing: How Different Is China?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
15. The equity premium and the risk-free rate: matching the moments
    Levine's Working Paper Archive, David K. Levine View citations (13)
    See also Journal Article in Journal of Monetary Economics (1993)

2009

16. Trending Current Accounts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2007

17. Endogenous Discounting, the World Saving Glut and the U.S. Current Account
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
    See also Journal Article in Journal of International Economics (2008)
18. Exchange Rate Models Are Not as Bad as You Think
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (155)
    See also Chapter (2008)

2005

19. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article in Journal of Money, Credit and Banking (2009)
20. Effective Exchange Rate Classifications and Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (46)

2004

21. Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models
    Econometrics, University Library of Munich, Germany View citations (7)
22. Dynamic Seemingly Unrelated Cointegrating Regression
    Working Papers, Ohio State University, Department of Economics View citations (11)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2003) View citations (14)
    Working Papers, Department of Economics, The University of Auckland (2003) View citations (5)
    See also Journal Article in Review of Economic Studies (2005)
23. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (7)
24. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
    Finance, University Library of Munich, Germany View citations (3)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations (3)
25. Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Journal Article in Journal of Money, Credit and Banking (2006)

2002

26. Asymptotic Power Advantages of Long-Horizon Regressions
    Working Papers, Department of Economics, The University of Auckland View citations (1)
27. Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (27)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
28. Panel Dynamic OLS Cointegration Vector Estimation and Long-Run Money Demand
    Working Papers, Department of Economics, The University of Auckland

2000

29. Price Level Convergence Among United States Cities: Lessons for the European Central Bank
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
    Also in Working Papers, Ohio State University, Department of Economics (1999) View citations (4)
    Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (1998) View citations (10)

1998

30. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?
    Working Papers, Ohio State University, Department of Economics
    Also in Working Papers, Ohio State University, Department of Economics (1997) View citations (2)
31. 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 in American Economic Review (2000)
32. Fundamentals of the Real Dollar-Pound Rate: 1871-1994
    Working Papers, Ohio State University, Department of Economics
33. Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel
    Working Papers, Ohio State University, Department of Economics
    See also Journal Article in Journal of International Economics (2001)
34. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Working Papers, Ohio State University, Department of Economics View citations (76)
    See also Journal Article in Economic Journal (1998)

1997

35. Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

1992

36. 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 in Journal of Finance (1994)

1988

37. Mean Reversion in Equilibrium Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (160)
    See also Journal Article in American Economic Review (1990)

Journal Articles

2019

1. 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

2. Global macro risks in currency excess returns
   Journal of Empirical Finance, 2018, 45, (C), 300-315 View citations (12)
   See also Working Paper (2017)
3. IDENTIFYING EXCHANGE RATE COMMON FACTORS
   International Economic Review, 2018, 59, (4), 2193-2218 View citations (4)
   See also Working Paper (2017)
4. Measures of global uncertainty and carry-trade excess returns
   Journal of International Money and Finance, 2018, 88, (C), 212-227 View citations (9)
   See also Working Paper (2017)

2017

5. Demographics and aggregate household saving in Japan, China, and India
   Journal of Macroeconomics, 2017, 51, (C), 175-191 View citations (12)
   See also Working Paper (2015)
6. Precautionary Saving of Chinese and U.S. Households
   Journal of Money, Credit and Banking, 2017, 49, (4), 635-661 View citations (4)
   See also Working Paper (2014)

2015

7. Demographic Patterns and Household Saving in China
   American Economic Journal: Macroeconomics, 2015, 7, (2), 58-94 View citations (63)
   See also Working Paper (2012)
8. Factor Model Forecasts of Exchange Rates
   Econometric Reviews, 2015, 34, (1-2), 32-55 View citations (50)
   See also Working Paper (2012)
9. Third-country effects on the exchange rate
   Journal of International Economics, 2015, 96, (2), 227-243 View citations (10)
   See also Working Paper (2013)

2011

10. LINKAGES BETWEEN EXCHANGE RATE POLICY AND MACROECONOMIC PERFORMANCE
    Pacific Economic Review, 2011, 16, (4), 395-420 View citations (7)

2010

11. 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 (13)
12. 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 (24)

2009

13. Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
    Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 View citations (71)
    Also in Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 (2009)
    See also Working Paper (2005)

2008

14. Endogenous discounting, the world saving glut and the U.S. current account
    Journal of International Economics, 2008, 75, (1), 30-53 View citations (39)
    See also Working Paper (2007)

2007

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

2006

16. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175
17. 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 (51)
    See also Working Paper (2004)

2005

18. Dynamic Seemingly Unrelated Cointegrating Regressions
    Review of Economic Studies, 2005, 72, (3), 797-820 View citations (67)
    See also Working Paper (2004)
19. Exchange Rate Economics: By Lucio Sarno and Mark P. Taylor, Cambridge University Press, 2003
    Journal of International Economics, 2005, 65, (2), 537-540
20. The real exchange rate and real interest differentials: the role of nonlinearities
    International Journal of Finance & Economics, 2005, 10, (4), 323-335 View citations (8)

2003

21. Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand
    Oxford Bulletin of Economics and Statistics, 2003, 65, (5), 655-680 View citations (315)
    See also Working Paper (2002)

2002

22. Price Index Convergence Among United States Cities
    International Economic Review, 2002, 43, (4), 1081-1099 View citations (157)

2001

23. 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 (275)
    See also Working Paper (1998)

2000

24. Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
    American Economic Review, 2000, 90, (4), 787-805 View citations (195)
    See also Working Paper (1998)

1998

25. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Economic Journal, 1998, 108, (451), 1686-1706 View citations (94)
    See also Working Paper (1998)

1997

26. Frequency Domain Tests for Residual Serial Correlation in Cointegration Regressions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 549-62 View citations (2)
27. Real exchange-rate prediction over long horizons
    Journal of International Economics, 1997, 43, (1-2), 29-60 View citations (64)
28. Understanding Spot and Forward Exchange Rate Regressions
    Journal of Applied Econometrics, 1997, 12, (6), 715-34 View citations (72)

1996

29. Alternative Long-Horizon Exchange-Rate Predictors
    International Journal of Finance & Economics, 1996, 1, (4), 229-50 View citations (20)
30. The Economic Content of Indicators of Developing Country Creditworthiness
    IMF Staff Papers, 1996, 43, (4), 688-724 View citations (53)

1995

31. Context†Dependence of Auditors' Interpretations of the SFAS No. 5 Probability Expressions*
    Contemporary Accounting Research, 1995, 12, (1), 25-39
32. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability
    American Economic Review, 1995, 85, (1), 201-18 View citations (562)

1994

33. 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 (32)
    See also Working Paper (1992)

1993

34. Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability: Erratum
    International Economic Review, 1993, 34, (2), 459
35. The equity premium and the risk-free rate: Matching the moments
    Journal of Monetary Economics, 1993, 31, (1), 21-45 View citations (117)
    See also Working Paper (2010)

1992

36. 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

37. Testing the CAPM with Time-Varying Risks and Returns
    Journal of Finance, 1991, 46, (4), 1485-1505 View citations (44)

1990

38. Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations
    American Economic Review, 1990, 80, (2), 48-51 View citations (16)
39. Mean Reversion in Equilibrium Asset Prices
    American Economic Review, 1990, 80, (3), 398-418 View citations (227)
    See also Working Paper (1988)
40. Real and nominal exchange rates in the long run: An empirical investigation
    Journal of International Economics, 1990, 28, (1-2), 115-136 View citations (165)

1988

41. The International Transmission of Real Business Cycles
    International Economic Review, 1988, 29, (3), 493-507 View citations (43)
42. 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 (51)

1987

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

1985

44. A Note on International Real Interest Rate Differentials
    The Review of Economics and Statistics, 1985, 67, (4), 681-84 View citations (9)
45. On time varying risk premia in the foreign exchange market: An econometric analysis
    Journal of Monetary Economics, 1985, 16, (1), 3-18 View citations (45)
46. Some evidence on the international inequality of real interest rates
    Journal of International Money and Finance, 1985, 4, (2), 189-208 View citations (81)

Chapters

2008

1. 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 (70)
   See also Working Paper (2007)

Software Items