Martin M. Andreasen

Aarhus University

Aarhus

Denmark

CREATES, Aarhus University

Junior Fellow

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

http://econ.au.dk/research/research-centres/creates/people/junior-fellows/martin-andreasen/

SCHOLARLY PAPERS

21

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142

CROSSREF CITATIONS

70

Scholarly Papers (21)

1.

The SR Approach: A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models

Number of pages: 70 Posted: 09 Mar 2010 Last Revised: 05 Aug 2014
Martin M. Andreasen and Bent Jesper Christensen
Aarhus University and Aarhus University
Downloads 403 (89,989)
Citation 5

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Bond data, GMM, Non-linear filtering, Non-linear least squares, SMM

2.

Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-Linear DSGE Model

CREATES Research Paper No. 2008-43
Number of pages: 35 Posted: 02 Sep 2008 Last Revised: 25 Feb 2011
Martin M. Andreasen
Aarhus University
Downloads 399 (91,031)
Citation 7

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Epstein-Zin-Weil preferences, Habits, Long-run risk, Non-linear filtering, Time-varying term premia

On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models

Number of pages: 40 Posted: 11 Sep 2010 Last Revised: 14 Sep 2011
Martin M. Andreasen
Aarhus University
Downloads 250 (150,235)
Citation 23

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Epstain-Zin-Weil preferences, GARCH, rare disasters, risk premia, stochastic volatility

How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models

Bank of England Working Paper No. 417
Number of pages: 48 Posted: 18 Mar 2011
Martin M. Andreasen
Aarhus University
Downloads 69 (406,248)
Citation 6

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Epstein-Zin-Weil preferences, GARCH, rare disasters, risk premia, stochastic volatility

Non-Linear DSGE Models, the Central Difference Kalman Filter, and the Mean Shifted Particle Filter

CREATES Research Paper 2008-33
Number of pages: 47 Posted: 19 Jun 2008
Martin M. Andreasen
Aarhus University
Downloads 141 (252,004)
Citation 6

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Multivariate Stirling interpolation, Particle filtering, Non-linear DSGE models, Non-normal shocks, Quasi-maximum likelihood

Non-Linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter

Number of pages: 63 Posted: 27 May 2008 Last Revised: 17 Jun 2008
Martin M. Andreasen
Aarhus University
Downloads 126 (274,912)
Citation 5

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Multivariate Stirling interpolation, Particle Filtering, Non-linear DSGE models, Non-normal shocks, Quasi-Maximum Likelihood

5.

Non-Linear DSGE Models and the Central Difference Kalman Filter

Number of pages: 52 Posted: 29 Aug 2010 Last Revised: 14 Sep 2011
Martin M. Andreasen
Aarhus University
Downloads 225 (166,894)
Citation 6

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Non-linear filtering, Non-Gaussian shocks, Quasi Maximum Likelihood, Stochastic volatility, Third order perturbation

The Business Cycle Implications of Banks' Maturity Transformation

Number of pages: 35 Posted: 16 Mar 2010 Last Revised: 21 Mar 2011
Martin M. Andreasen, Marcelo Ferman and Pawel Zabczyk
Aarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 175 (209,879)

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Banks, DSGE model, Financial frictions, Firm heterogeneity, Maturity transformation

The Business Cycle Implications of Banks' Maturity Transformation

ECB Working Paper No. 1489
Number of pages: 44 Posted: 21 Nov 2012
Martin M. Andreasen, Marcelo Ferman and Pawel Zabczyk
Aarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 29 (584,288)

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banks, DSGE model, financial frictions, long-term credit, maturity transformation

7.

Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Zero Lower Bound

Number of pages: 42 Posted: 17 Jan 2011
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 199 (187,264)
Citation 8

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Adaptive particle filtering, Bayesian inference, Higher order moments, PMCMC, Quadratic term structure models

8.

How to Maximize the Likelihood Function for a DSGE Model

CREATES Research Paper 2008-32
Number of pages: 32 Posted: 27 Feb 2008
Martin M. Andreasen
Aarhus University
Downloads 169 (216,173)
Citation 9

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Simulated Annealing, Resampling, CMA-ES, CMA-ES optimization routine,Likelihood function, Multimodel objective function, Non-convex search space, Resampling, The Nelder-Mead simplex routine

9.

An Estimated DSGE Model: Explaining Variation in Nominal Term Premia, Real Term Premia, and Inflation Risk Premia

Number of pages: 42 Posted: 14 May 2010 Last Revised: 22 Feb 2011
Martin M. Andreasen
Aarhus University
Downloads 142 (249,810)
Citation 5

Abstract:

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Market price of risk, Non-linear filtering, Quantity of risk, Epstein-Zin-Weil preferences, Third-order perturbation.

Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

Number of pages: 32 Posted: 27 Feb 2008 Last Revised: 01 Oct 2009
Martin M. Andreasen
Aarhus University
Downloads 81 (370,416)

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Deterministic trends, DSGE models, Error distributions, Moment generating functions, Stochastic trends, Unit-roots

Ensuring the Validity of the Micro Foundation in DSGE Models

CREATES Research Paper 2008-26
Number of pages: 45 Posted: 25 Jun 2008
Martin M. Andreasen
Aarhus University
Downloads 48 (485,070)
Citation 4

Abstract:

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Deterministic trends, DSGE models, Error distributions, Moment generating functions, Stochastic trends, Stochastic volatility, Unit-roots

11.

Non-linear DSGE Models and The Optimized Central Difference Particle Filter

Number of pages: 45 Posted: 28 Jan 2010 Last Revised: 15 Dec 2010
Martin M. Andreasen
Aarhus University
Downloads 125 (275,386)
Citation 4

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Likelihood inference, Non-linear DSGE models, Non-normal shocks, Particle filtering

An Efficient Method of Computing Higher Order Bond Price Perturbation Approximations

Number of pages: 38 Posted: 04 May 2010 Last Revised: 11 May 2010
Martin M. Andreasen and Pawel Zabczyk
Aarhus University and International Monetary Fund MCMMP
Downloads 65 (419,471)
Citation 7

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Perturbation method, DSGE models, Habit model, Higher order approximation

An Efficient Method of Computing Higher-Order Bond Price Perturbation Approximations

Bank of England Working Paper No. 416
Number of pages: 38 Posted: 18 Mar 2011
Martin M. Andreasen and Pawel Zabczyk
Aarhus University and International Monetary Fund MCMMP
Downloads 34 (554,513)
Citation 1

Abstract:

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Perturbation method, DSGE models, habit model, higher-order approximation

13.

Stochastic Volatility and DSGE Models

CREATES Research Paper No. 2009-29
Number of pages: 10 Posted: 09 Jul 2009
Martin M. Andreasen
Aarhus University
Downloads 78 (374,954)
Citation 4

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Great Moderation, Productivity shocks, and Time-varying coefficients

14.

Dynamic Term Structure Models: The Best Way to Enforce the Zero Lower Bound in the United States

Bank of England Working Paper No. 550
Number of pages: 64 Posted: 02 Oct 2015 Last Revised: 09 Oct 2015
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 56 (445,590)
Citation 11

Abstract:

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Bias-adjustment, forecasting study, quadratic term styructure models, sequential regression approach, shadow rate models

15.

The Business Cycle Implications of Banks’ Maturity Transformation

Bank of England Working Paper No. 446
Number of pages: 43 Posted: 23 Mar 2012
Martin M. Andreasen, Marcelo Ferman and Pawel Zabczyk
Aarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 55 (449,265)
Citation 5

Abstract:

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Banks, DSGE model, financial frictions, firm heterogeneity, maturity transformation

16.

The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

Number of pages: 46 Posted: 08 Dec 2016
Martin M. Andreasen and Kasper Jørgensen
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 52 (460,493)
Citation 5

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Bond premium puzzle, Equity premium puzzle, Early Resolution of Uncertainty, Long-run risk

17.

Market Beliefs About the UK Monetary Policy Lift-Off Horizon: A No-Arbitrage Shadow Rate Term Structure Model Approach

Bank of England Working Paper No. 541
Number of pages: 37 Posted: 16 Aug 2015
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 46 (484,868)
Citation 7

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Shadow rate models, sequential regression estimation, policy lift-off, zero lower bound.

18.

An Estimated DSGE Model: Explaining Variation in Term Premia

Bank of England Working Paper No. 441
Number of pages: 54 Posted: 15 Dec 2011
Martin M. Andreasen
Aarhus University
Downloads 35 (536,203)

Abstract:

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market price of risk, non-linear filtering, quantity of risk, Epstein-Zin-Weil preferences, third-order perturbation

19.

A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

FEDS Working Paper No. 2018-056
Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 23 (607,089)
Citation 3

Abstract:

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Quadratic term structure models, Sequential regression approach, Shadow rate models, Zero lower bound

20.

Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Lower Bound

Bank of England Working Paper No. 481
Number of pages: 35 Posted: 22 Dec 2013
Martin M. Andreasen and Andrew Meldrum
Aarhus University and Board of Governors of the Federal Reserve System
Downloads 21 (620,600)
Citation 2

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Adaptive particle filtering, Bayesian inference, Higher-order moments, PMCMC, Quadratic term structure models

21.

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

NBER Working Paper No. w18983
Number of pages: 65 Posted: 20 Apr 2013 Last Revised: 16 May 2021
Aarhus University, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 16 (655,869)
Citation 50

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