Constructive Merge

The easiest way to understand this idiom is a simple merge that constructs a new list as output.

public static Cons merj (Cons x, Cons y) {
  if ( x == null )
     return y;
   else if ( y == null )
           return x;
  else if ( ((Comparable) first(x))
                       .compareTo(first(y)) < 0 )
           return cons(first(x),
                       merj(rest(x), y));
           else return cons(first(y),
                            merj(x, rest(y))); }

(defun merj (x y)
  (if (null x)
      y
      (if (null y)
          x
          (if (< (first x) (first y))
              (cons (first x)
                    (merj (rest x) y))
              (cons (first y)
                    (merj x (rest y))) ) ) ) )

What is O()? Stack depth? Conses?