Nelson C. Mark
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View article: GDP and Temperature: Evidence on Cross-Country Response Heterogeneity
GDP and Temperature: Evidence on Cross-Country Response Heterogeneity Open
We use local projections to estimate the cross-country distribution of real GDP per capita growth impulse responses to global and idiosyncratic temperature shocks.Negative growth responses to global temperature at longer horizons are found…
View article: Demographics and Monetary Policy Shocks
Demographics and Monetary Policy Shocks Open
We show that consumption expenditures for older households are more responsive to monetary policy shocks than for young‐ or middle‐aged households. A one‐standard‐deviation expansionary monetary policy shock induces a statistically signifi…
View article: Global Macro Risks in Currency Excess Returns
Global Macro Risks in Currency Excess Returns Open
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap—our measure o…
View article: Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model
Uncertainty, Long-Run, and Monetary Policy Risks in a Two-Country Macro Model Open
We study international currency risk in a two-country dynamic stochastic general equilibrium model under incomplete markets.The underlying sources of risk are direct shocks to productivity growth, shocks to a long-run risk component of pro…
View article: Global Macro Risks in Currency Excess Returns
Global Macro Risks in Currency Excess Returns Open
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk.The risk factor is the cross-country high-minus-low conditional skewness of the une…
View article: Identifying Exchange Rate Common Factors
Identifying Exchange Rate Common Factors Open
Using recently developed model selection procedures, we determine that exchange rate returns are driven by a two-factor model.We identify them as a dollar factor and a euro factor.Exchange rates are thus driven by global, US, and Euro-zone…
View article: Measures of Global Uncertainty and Carry-Trade Excess Returns
Measures of Global Uncertainty and Carry-Trade Excess Returns Open
Asset market participants generally do not like uncertainty. In studying the cross-section of carry- trade-generated currency excess returns and their exposure to macroeconomic uncertainty, we find it also to be true for those participatin…