“Go home to your friends and tell them how merciful the LORD was to you, and had compassion on you.” (Mark 5:19)

Jesus made this statement to the man who was demon-possessed, following an exorcism. The previous verse explains:
After Jesus had boarded the boat, the man who was possessed with the demon asked if he could go with him. (Mark 5:18)
Jesus' response may bring up the question: Who is Jesus referring to as "the LORD" here? Didn't Jesus exorcise the demons? Why then would he say that the LORD has been merciful? Or is Jesus referring to himself as LORD?

When we read previous verses, we learn that Jesus was involved in the exorcism:
Jesus permitted the impure spirits to come out and enter into the herd of about two thousand pigs, and the herd ran down a steep ravine and drowned in the sea. (Mark 5:13)
We can see from this that Jesus was involved.

In Mark 5:19, Jesus is speaking of the LORD in the third person to the man. If he wanted the man to tell others that Jesus had driven out the demon and had mercy on him why didn't he just say "... tell them how much I have done for you, and how I have had mercy on you"??

Yet Jesus didn't say this. Why not, if Jesus was the one who exorcised the demon?

Because Jesus did not exorcise the demon. The Supreme Being did. God was simply acting through Jesus.

Jesus is God's representative, and as such, has been empowered to act on behalf of God. But this doesn't mean the power belongs to Jesus. It is still God's power. The mercy of the event still originates with God.

Jesus confirms this as he uses the word "LORD" - translated from the Greek word κύριος (kyrios) - which, according to the lexicon, "is a title of honor expressive of respect and reverence, with which servants greet their master."

Let's say for example that someone wants to buy a house. They won't be dealing with the homeowner directly. They will be dealing with their real estate agent. The agent acts on behalf of the homeowner.

The real estate agent can't claim he is the homeowner either. All he can say - just as Jesus is saying - is that he is acting on behalf of the owner.

Jesus confirms this role as God's representative elsewhere. Consider these statements:
“The Spirit of the LORD is upon me because He anointed me to preach the gospel to the humble. He has sent me to proclaim mercy to the imprisoned and renewed sight to the blind, to set free those who are opposed – to proclaim the blessed time of the LORD.” (Luke 4:18)
"If I do not do the works of my LORD, do not trust me. (John 10:37)
But so that the world may know that I love the Creator, I do exactly what the Creator instructs me. Let’s get up and leave this place.” (John 14:31)
“My teaching is not mine, but comes from He who sent me." (John 7:16)
"For I speak not from myself but the Creator Himself who sent me gives me instructions as to what to teach and what to say. I know His instructions are eternal life; therefore the things I say, I say just as the LORD has taught me.” (John 12:49-50)
Not just once, but repeatedly - with many other statements - Jesus clearly identified himself as God's representative and loving servant. In Luke 4:18 above we see directly that Jesus is stating that not only his teachings, but the various healings and exorcisms were done on behalf of the Supreme Being.

Jesus also clarified that he was working on behalf of the Supreme Being and thus there was a oneness between them - a oneness of love and a oneness of purpose.

It is not as if they had become the same person - as many sectarian teachers have proposed.

In the illustration above about the business owner and his agent, as long as his agent is doing what the owner wants him to do - and he is thus acting on behalf of the owner - there is a oneness of purpose and action. But they never become the same person.

Jesus clarified this oneness in the following statement:
"And He who sent me is with me; He has not left me alone, for I always do what pleases Him.” (John 8:29)
Thus we see that the Supreme Being is the principal, and Jesus is carrying out God's wishes. This is why Jesus could tell the man:

"... tell them how merciful the LORD was to you..."

This means that the mercy of the Supreme Being was executed in the form of Jesus' activities. Jesus was God's agent. And this is why the demons responded so immediately to Jesus. Because they could recognize the power behind Jesus.

We also see how Jesus was quick to praise the Supreme Being and give the Supreme Being credit for what happened to the man. He didn't take credit.

Furthermore, Jesus is not acting on behalf of the Supreme Being as a business relationship. He wasn't thinking of what he might get in return - as the real estate agent might as he calculates his commission. Jesus was conducting the business of the Supreme Being because he loved God:
"But so that the world may know that I love the Creator, I do exactly what the Creator instructs me (John 14:31)

(The New Testament verses in this article are quoted from the Gospels of Jesus)