Details about Nelson Mark
Access statistics for papers by Nelson Mark.
Last updated 2021-11-07. Update your information in the RePEc Author Service.
Short-id: pma186
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Working Papers
2020
- Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model
NBER Working Papers, National Bureau of Economic Research, Inc
2019
- Demographics and Monetary Policy Shocks
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in 2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (6)
2017
- 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 in Journal of Empirical Finance (2018)
- Identifying Exchange Rate Common Factors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Journal Article in International Economic Review (2018)
- 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
- Demographics and Aggregate Household Saving in Japan, China, and India
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
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
- Precautionary Saving of Chinese and U.S. Households
NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
See also Journal Article in Journal of Money, Credit and Banking (2017)
2013
- The Role of Household Saving in the Economic Rise of China
Working Papers, Hong Kong Institute for Monetary Research View citations (6)
Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (5)
- The Size of the Precautionary Component of Household Saving: China and the U.S
2013 Meeting Papers, Society for Economic Dynamics
- Third-Country Effects on the Exchange Rate
2013 Meeting Papers, Society for Economic Dynamics View citations (6)
See also Journal Article in Journal of International Economics (2015)
2012
- Demographic Patterns and Household Saving in China
Working Papers, University of Notre Dame, Department of Economics View citations (1)
Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (29) NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (41)
See also Journal Article in American Economic Journal: Macroeconomics (2015)
- Exchange Rates as Exchange Rate Common Factors
Working Papers, University of Notre Dame, Department of Economics View citations (21)
Also in Working Papers, Hong Kong Institute for Monetary Research (2012) View citations (24)
- Factor Model Forecasts of Exchange Rates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
Also in Working Papers, University of Notre Dame, Department of Economics (2012) View citations (20)
See also Journal Article in Econometric Reviews (2015)
2010
- Business Cycles, Consumption and Risk-Sharing: How Different Is China?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
- 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
- Trending Current Accounts
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
2007
- 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)
- Exchange Rate Models Are Not as Bad as You Think
NBER Working Papers, National Bureau of Economic Research, Inc View citations (288)
See also Chapter (2008)
2005
- Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
See also Journal Article in Journal of Money, Credit and Banking (2009)
- Effective Exchange Rate Classifications and Growth
NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
2004
- Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models
Econometrics, University Library of Munich, Germany View citations (7)
- Dynamic Seemingly Unrelated Cointegrating Regression
Working Papers, Ohio State University, Department of Economics View citations (12)
Also in Working Papers, Department of Economics, The University of Auckland (2003) View citations (7) NBER Technical Working Papers, National Bureau of Economic Research, Inc (2003) View citations (18)
See also Journal Article in Review of Economic Studies (2005)
- 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 (8)
- The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in Finance, University Library of Munich, Germany (2004) View citations (3)
- 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 in Journal of Money, Credit and Banking (2006)
2002
- Asymptotic Power Advantages of Long-Horizon Regressions
Working Papers, Department of Economics, The University of Auckland View citations (1)
- 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 in Oxford Bulletin of Economics and Statistics (2003)
- Panel Dynamic OLS Cointegration Vector Estimation and Long-Run Money Demand
Working Papers, Department of Economics, The University of Auckland
2000
- Price Level Convergence Among United States Cities: Lessons for the European Central Bank
NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
Also in Working Papers, Ohio State University, Department of Economics (1999) View citations (8) Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) (1998) View citations (17)
1998
- Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?
Working Papers, Ohio State University, Department of Economics View citations (1)
Also in Working Papers, Ohio State University, Department of Economics (1997) View citations (2)
- 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)
- Fundamentals of the Real Dollar-Pound Rate: 1871-1994
Working Papers, Ohio State University, Department of Economics View citations (1)
- Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel
Working Papers, Ohio State University, Department of Economics View citations (1)
See also Journal Article in Journal of International Economics (2001)
- Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
Working Papers, Ohio State University, Department of Economics View citations (105)
See also Journal Article in Economic Journal (1998)
1997
- Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
1992
- 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
- Mean Reversion in Equilibrium Asset Prices
NBER Working Papers, National Bureau of Economic Research, Inc View citations (163)
See also Journal Article in American Economic Review (1990)
Journal Articles
2019
- 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
- Global macro risks in currency excess returns
Journal of Empirical Finance, 2018, 45, (C), 300-315 View citations (15)
See also Working Paper (2017)
- IDENTIFYING EXCHANGE RATE COMMON FACTORS
International Economic Review, 2018, 59, (4), 2193-2218 View citations (12)
See also Working Paper (2017)
- Measures of global uncertainty and carry-trade excess returns
Journal of International Money and Finance, 2018, 88, (C), 212-227 View citations (17)
See also Working Paper (2017)
2017
- Demographics and aggregate household saving in Japan, China, and India
Journal of Macroeconomics, 2017, 51, (C), 175-191 View citations (25)
See also Working Paper (2015)
- Precautionary Saving of Chinese and U.S. Households
Journal of Money, Credit and Banking, 2017, 49, (4), 635-661 View citations (7)
See also Working Paper (2014)
2015
- Demographic Patterns and Household Saving in China
American Economic Journal: Macroeconomics, 2015, 7, (2), 58-94 View citations (81)
See also Working Paper (2012)
- Factor Model Forecasts of Exchange Rates
Econometric Reviews, 2015, 34, (1-2), 32-55 View citations (70)
See also Working Paper (2012)
- Third-country effects on the exchange rate
Journal of International Economics, 2015, 96, (2), 227-243 View citations (13)
See also Working Paper (2013)
2011
- LINKAGES BETWEEN EXCHANGE RATE POLICY AND MACROECONOMIC PERFORMANCE
Pacific Economic Review, 2011, 16, (4), 395-420 View citations (11)
2010
- 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 (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
- Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics
Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 View citations (8)
Also in Journal of Money, Credit and Banking, 2009, 41, (6), 1047-1070 (2009) View citations (89)
See also Working Paper (2005)
2008
- Endogenous discounting, the world saving glut and the U.S. current account
Journal of International Economics, 2008, 75, (1), 30-53 View citations (51)
See also Working Paper (2007)
2007
- Official interventions and the forward premium anomaly
Journal of Empirical Finance, 2007, 14, (4), 499-522 View citations (13)
2006
- Special issue on advances in international money, macro and finance
International Journal of Finance & Economics, 2006, 11, (3), 175-175
- 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 (56)
See also Working Paper (2004)
2005
- Dynamic Seemingly Unrelated Cointegrating Regressions
Review of Economic Studies, 2005, 72, (3), 797-820 View citations (85)
See also Working Paper (2004)
- Exchange Rate Economics: By Lucio Sarno and Mark P. Taylor, Cambridge University Press, 2003
Journal of International Economics, 2005, 65, (2), 537-540
- 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
- Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand
Oxford Bulletin of Economics and Statistics, 2003, 65, (5), 655-680 View citations (354)
See also Working Paper (2002)
2002
- Price Index Convergence Among United States Cities
International Economic Review, 2002, 43, (4), 1081-1099 View citations (171)
2001
- 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 (304)
See also Working Paper (1998)
2000
- Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
American Economic Review, 2000, 90, (4), 787-805 View citations (238)
See also Working Paper (1998)
1998
- Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
Economic Journal, 1998, 108, (451), 1686-1706 View citations (104)
See also Working Paper (1998)
1997
- Frequency Domain Tests for Residual Serial Correlation in Cointegration Regressions
Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 549-62 View citations (3)
- Real exchange-rate prediction over long horizons
Journal of International Economics, 1997, 43, (1-2), 29-60 View citations (66)
- Understanding Spot and Forward Exchange Rate Regressions
Journal of Applied Econometrics, 1997, 12, (6), 715-34 View citations (79)
1996
- Alternative Long-Horizon Exchange-Rate Predictors
International Journal of Finance & Economics, 1996, 1, (4), 229-50 View citations (22)
- The Economic Content of Indicators of Developing Country Creditworthiness
IMF Staff Papers, 1996, 43, (4), 688-724 View citations (73)
1995
- Context†Dependence of Auditors' Interpretations of the SFAS No. 5 Probability Expressions*
Contemporary Accounting Research, 1995, 12, (1), 25-39
- Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability
American Economic Review, 1995, 85, (1), 201-18 View citations (665)
1994
- 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 (34)
See also Working Paper (1992)
1993
- Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability: Erratum
International Economic Review, 1993, 34, (2), 459
- The equity premium and the risk-free rate: Matching the moments
Journal of Monetary Economics, 1993, 31, (1), 21-45 View citations (128)
See also Working Paper (2010)
1992
- 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
- Testing the CAPM with Time-Varying Risks and Returns
Journal of Finance, 1991, 46, (4), 1485-1505 View citations (62)
1990
- Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations
American Economic Review, 1990, 80, (2), 48-51 View citations (23)
- Mean Reversion in Equilibrium Asset Prices
American Economic Review, 1990, 80, (3), 398-418 View citations (251)
See also Working Paper (1988)
- Real and nominal exchange rates in the long run: An empirical investigation
Journal of International Economics, 1990, 28, (1-2), 115-136 View citations (196)
1988
- The International Transmission of Real Business Cycles
International Economic Review, 1988, 29, (3), 493-507 View citations (50)
- 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 (56)
1987
- International debt and world business fluctuations
Journal of International Money and Finance, 1987, 6, (2), 153-165 View citations (4)
1985
- A Note on International Real Interest Rate Differentials
The Review of Economics and Statistics, 1985, 67, (4), 681-84 View citations (11)
- On time varying risk premia in the foreign exchange market: An econometric analysis
Journal of Monetary Economics, 1985, 16, (1), 3-18 View citations (59)
- Some evidence on the international inequality of real interest rates
Journal of International Money and Finance, 1985, 4, (2), 189-208 View citations (87)
Chapters
2008
- 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 (121)
See also Working Paper (2007)
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