Details about Martin Møller Andreasen
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Short-id: pan383
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Working Papers
2017
- Term Structure Analysis with Big Data
Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
2013
- The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)
2012
- The business cycle implications of banks' maturity transformation
Working Paper Series, European Central Bank View citations (9)
Also in Bank of England working papers, Bank of England (2012) 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) View citations (18) (2013)
2011
- An efficient method of computing higher-order bond price perturbation approximations
Bank of England working papers, Bank of England View citations (5)
- An estimated DSGE model: explaining variation in term premia
Bank of England working papers, Bank of England View citations (2)
- How non-Gaussian shocks affect risk premia in non-linear DSGE models
Bank of England working papers, Bank of England View citations (3)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
- 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 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) View citations (98) (2012)
2010
- Non-linear DSGE Models and The Central Difference Kalman Filter
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
- Non-linear DSGE Models and The Optimized Particle Filter
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
2009
- Stochastic Volatility and DSGE Models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Stochastic volatility and DSGE models, Economics Letters, Elsevier (2010) View citations (8) (2010)
2008
- Ensuring the Validity of the Micro Foundation in DSGE Models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
- Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
- How to Maximize the Likelihood Function for a DSGE Model
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
See also Journal Article How to Maximize the Likelihood Function for a DSGE Model, Computational Economics, Springer (2010) View citations (28) (2010)
- 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 View citations (10)
Undated
- 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 View citations (2)
Journal Articles
2013
- The Business Cycle Implications of Banks' Maturity Transformation
Review of Economic Dynamics, 2013, 16, (4), 581-600 View citations (18)
See also Software Item Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation", Computer Codes (2012) (2012) Working Paper The business cycle implications of banks' maturity transformation, Working Paper Series (2012) View citations (9) (2012)
2012
- 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 View citations (50)
- 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 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) 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) (2011)
2011
- Non-linear DSGE models and the optimized central difference particle filter
Journal of Economic Dynamics and Control, 2011, 35, (10), 1671-1695 View citations (16)
2010
- How to Maximize the Likelihood Function for a DSGE Model
Computational Economics, 2010, 35, (2), 127-154 View citations (28)
See also Working Paper How to Maximize the Likelihood Function for a DSGE Model, CREATES Research Papers (2008) View citations (6) (2008)
- Stochastic volatility and DSGE models
Economics Letters, 2010, 108, (1), 7-9 View citations (8)
See also Working Paper Stochastic Volatility and DSGE Models, CREATES Research Papers (2009) View citations (1) (2009)
- Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends
The B.E. Journal of Macroeconomics, 2010, 10, (1), 41
Software Items
2012
- Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation"
Computer Codes, Review of Economic Dynamics
See also Journal Article The Business Cycle Implications of Banks' Maturity Transformation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2013) View citations (18) (2013)
2011
- 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
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) View citations (98) (2012)
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