Martin M. Andreasen

University of Aarhus

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

22

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41

Scholarly Papers (22)

1.

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
University of Aarhus
Downloads 294 (70,584)
Citation 3

Abstract:

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
University of Aarhus
Downloads 172 (147,365)
Citation 6

Abstract:

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
University of Aarhus
Downloads 58 (314,953)
Citation 6

Abstract:

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

Number of pages: 63 Posted: 27 May 2008 Last Revised: 17 Jun 2008
Martin M. Andreasen
University of Aarhus
Downloads 109 (213,743)

Abstract:

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

CREATES Research Paper 2008-33
Number of pages: 47 Posted: 19 Jun 2008
Martin M. Andreasen
University of Aarhus
Downloads 104 (221,191)

Abstract:

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

4.

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
University of Aarhus
Downloads 200 (119,166)
Citation 3

Abstract:

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

5.

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
University of Aarhus and Aarhus University
Downloads 193 (81,264)
Citation 2

Abstract:

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

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
University of Aarhus, London School of Economics & Political Science (LSE) - Department of Economics and CCBS, Bank of England
Downloads 165 (152,912)

Abstract:

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
University of Aarhus, London School of Economics & Political Science (LSE) - Department of Economics and CCBS, Bank of England
Downloads 22 (455,623)

Abstract:

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
University of Aarhus and Independent
Downloads 162 (140,748)
Citation 1

Abstract:

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
University of Aarhus
Downloads 155 (161,171)
Citation 6

Abstract:

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

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
University of Aarhus
Downloads 74 (275,768)
Citation 2

Abstract:

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
University of Aarhus
Downloads 40 (372,178)
Citation 2

Abstract:

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

10.

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
University of Aarhus
Downloads 107 (195,701)
Citation 2

Abstract:

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

11.

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

CREATES Research Paper 2010-5
Number of pages: 45 Posted: 28 Jan 2010 Last Revised: 15 Dec 2010
Martin M. Andreasen
University of Aarhus
Downloads 97 (221,546)
Citation 2

Abstract:

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
University of Aarhus and CCBS, Bank of England
Downloads 59 (312,197)
Citation 4

Abstract:

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
University of Aarhus and CCBS, Bank of England
Downloads 31 (408,562)
Citation 4

Abstract:

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
University of Aarhus
Downloads 64 (288,495)
Citation 2

Abstract:

Great Moderation, Productivity shocks, and Time-varying coefficients

14.

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
University of Aarhus, London School of Economics & Political Science (LSE) - Department of Economics and CCBS, Bank of England
Downloads 34 (351,524)

Abstract:

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

15.

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
University of Aarhus
Downloads 28 (398,610)

Abstract:

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

16.

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
University of Aarhus and Independent
Downloads 8 (483,099)
Citation 1

Abstract:

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

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
University of Aarhus and Independent
Downloads 4 (421,093)

Abstract:

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

18.

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
University of Aarhus, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 1 (522,851)
Citation 7

Abstract:

19.

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
University of Aarhus and University of Aarhus
Downloads 0 (457,012)

Abstract:

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

20.

Online Appendix: Bond Market Asymmetries Across Recessions and Expansions: New Evidence on Risk Premia

Number of pages: 52 Posted: 26 Oct 2016 Last Revised: 18 Sep 2017
Martin M. Andreasen, Tom Engsted, Stig Vinther Møller and Magnus Sander
University of Aarhus, University of Aarhus - CREATES, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 0 (364,790)

Abstract:

Bond return predictability, Business cycle variation in excess returns, Market price of risk, Zero-lower bound, Unspanned macroeconomic risk

21.

Bond Market Asymmetries Across Recessions and Expansions: New Evidence on Risk Premia

CREATES Research Paper 2016-26
Number of pages: 62 Posted: 07 Sep 2016 Last Revised: 18 Sep 2017
Martin M. Andreasen, Tom Engsted, Stig Vinther Møller and Magnus Sander
University of Aarhus, University of Aarhus - CREATES, University of Aarhus - CREATES and University of Aarhus - CREATES
Downloads 0 (193,320)

Abstract:

Bond return predictability, Business cycle variation in excess returns, Market price of risk, Zero-lower bound, Unspanned macroeconomic risk

22.

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
University of Aarhus and Independent
Downloads 0 (386,679)

Abstract:

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