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Details about Martin Møller Andreasen

Homepage:https://sites.google.com/site/mandreasendk/
Workplace:Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

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Short-id: pan383


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Working Papers

2017

  1. Term Structure Analysis with Big Data
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)

2013

  1. The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (64)

2012

  1. The business cycle implications of banks' maturity transformation
    Working Paper Series, European Central Bank Downloads View citations (9)
    Also in Bank of England working papers, Bank of England (2012) Downloads View citations (2)

    See also Journal Article The Business Cycle Implications of Banks' Maturity Transformation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) Downloads View citations (18) (2013)

2011

  1. An efficient method of computing higher-order bond price perturbation approximations
    Bank of England working papers, Bank of England Downloads View citations (5)
  2. An estimated DSGE model: explaining variation in term premia
    Bank of England working papers, Bank of England Downloads View citations (2)
  3. How non-Gaussian shocks affect risk premia in non-linear DSGE models
    Bank of England working papers, Bank of England Downloads View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (1)
  4. Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"
    Online Appendices, Review of Economic Dynamics Downloads View citations (2)
    See also Journal Article On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2012) Downloads View citations (98) (2012)

2010

  1. Non-linear DSGE Models and The Central Difference Kalman Filter
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)
  2. Non-linear DSGE Models and The Optimized Particle Filter
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

2009

  1. Stochastic Volatility and DSGE Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article Stochastic volatility and DSGE models, Economics Letters, Elsevier (2010) Downloads View citations (8) (2010)

2008

  1. Ensuring the Validity of the Micro Foundation in DSGE Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)
  3. How to Maximize the Likelihood Function for a DSGE Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article How to Maximize the Likelihood Function for a DSGE Model, Computational Economics, Springer (2010) Downloads View citations (28) (2010)
  4. Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (10)

Undated

  1. The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

Journal Articles

2013

  1. The Business Cycle Implications of Banks' Maturity Transformation
    Review of Economic Dynamics, 2013, 16, (4), 581-600 Downloads View citations (18)
    See also Software Item Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation", Computer Codes (2012) Downloads (2012)
    Working Paper The business cycle implications of banks' maturity transformation, Working Paper Series (2012) Downloads View citations (9) (2012)

2012

  1. An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia
    European Economic Review, 2012, 56, (8), 1656-1674 Downloads View citations (50)
  2. On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models
    Review of Economic Dynamics, 2012, 15, (3), 295-316 Downloads View citations (98)
    See also Working Paper Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models", Online Appendices (2011) Downloads View citations (2) (2011)
    Software Item Code and data files for "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models", Computer Codes (2011) Downloads (2011)

2011

  1. Non-linear DSGE models and the optimized central difference particle filter
    Journal of Economic Dynamics and Control, 2011, 35, (10), 1671-1695 Downloads View citations (16)

2010

  1. How to Maximize the Likelihood Function for a DSGE Model
    Computational Economics, 2010, 35, (2), 127-154 Downloads View citations (28)
    See also Working Paper How to Maximize the Likelihood Function for a DSGE Model, CREATES Research Papers (2008) Downloads View citations (6) (2008)
  2. Stochastic volatility and DSGE models
    Economics Letters, 2010, 108, (1), 7-9 Downloads View citations (8)
    See also Working Paper Stochastic Volatility and DSGE Models, CREATES Research Papers (2009) Downloads View citations (1) (2009)
  3. Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends
    The B.E. Journal of Macroeconomics, 2010, 10, (1), 41 Downloads

Software Items

2012

  1. Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article The Business Cycle Implications of Banks' Maturity Transformation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) Downloads View citations (18) (2013)

2011

  1. Code and data files for "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2012) Downloads View citations (98) (2012)
 
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