Martin M. Andreasen

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/

Aarhus University

Aarhus

Denmark

  • CREATES, Aarhus University

  • Aarhus University

SCHOLARLY PAPERS

26

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204

Scholarly Papers (26)

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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
CREATES, Aarhus UniversityAarhus University and Aarhus University
Downloads 470 (122,566)
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
CREATES, Aarhus UniversityAarhus University
Downloads 470 (122,566)
Citation 7

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

3.

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

Downloads 464 (124,712)
Citation 29

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
CREATES, Aarhus UniversityAarhus University
Downloads 372 (159,563)
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
CREATES, Aarhus UniversityAarhus University
Downloads 92 (561,777)
Citation 6

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

4.

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

Downloads 332 (181,692)
Citation 13

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
CREATES, Aarhus UniversityAarhus University
Downloads 170 (348,172)
Citation 8

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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
CREATES, Aarhus UniversityAarhus University
Downloads 162 (363,145)
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
CREATES, Aarhus UniversityAarhus University
Downloads 266 (228,971)
Citation 10

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

6.

The Business Cycle Implications of Banks' Maturity Transformation

Downloads 262 (232,432)

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
CREATES, Aarhus UniversityAarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 206 (292,052)

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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
CREATES, Aarhus UniversityAarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 56 (739,696)

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

7.

Identifying a Stock Price Bubble and its Macroeconomic Implications

Number of pages: 38 Posted: 09 Dec 2023 Last Revised: 04 Apr 2024
Martin M. Andreasen and Jeppe Bro
CREATES, Aarhus UniversityAarhus University and ATP
Downloads 244 (249,560)

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Bubble Test, Excess Stock Market Volatility, Local Explosiveness, Macro-Finance, Structural Vector Autoregression

8.

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
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 233 (260,961)
Citation 9

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

9.

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
CREATES, Aarhus UniversityAarhus University
Downloads 198 (303,985)
Citation 7

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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

10.

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

Downloads 179 (333,176)
Citation 4

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
CREATES, Aarhus UniversityAarhus University
Downloads 107 (505,702)

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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
CREATES, Aarhus UniversityAarhus University
Downloads 72 (651,160)
Citation 4

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

11.

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
CREATES, Aarhus UniversityAarhus University
Downloads 166 (355,751)
Citation 13

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

12.

An Efficient Method of Computing Higher Order Bond Price Perturbation Approximations

Downloads 153 (383,135)
Citation 8

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
CREATES, Aarhus UniversityAarhus University and International Monetary Fund MCMMP
Downloads 88 (578,015)
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
CREATES, Aarhus UniversityAarhus University and International Monetary Fund MCMMP
Downloads 65 (693,038)
Citation 1

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

13.

Bond Risk Premiums at the Zero Lower Bound

Number of pages: 59 Posted: 29 Apr 2024
Martin M. Andreasen, Kasper Jørgensen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University, European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 149 (389,537)

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Bond return predictability, Dynamic term structure models, Unspanned stochastic volatility

14.

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
CREATES, Aarhus UniversityAarhus University
Downloads 148 (391,626)
Citation 6

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

15.

Stochastic Volatility and DSGE Models

CREATES Research Paper No. 2009-29
Number of pages: 10 Posted: 09 Jul 2009
Martin M. Andreasen
CREATES, Aarhus UniversityAarhus University
Downloads 104 (512,597)
Citation 4

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Great Moderation, Productivity shocks, and Time-varying coefficients

16.

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
CREATES, Aarhus UniversityAarhus University, London School of Economics & Political Science (LSE) - Department of Economics and International Monetary Fund MCMMP
Downloads 97 (537,441)
Citation 5

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

17.

Why Does Risk Matter More in Recessions than in Expansions?

Downloads 86 (579,491)
Citation 1

Why Does Risk Matter More in Recessions than in Expansions?

CAMA Working Paper No. 83/2021
Number of pages: 43 Posted: 30 Sep 2021
Martin M. Andreasen, Giovanni Caggiano, Efrem Castelnuovo and Giovanni Pellegrino
CREATES, Aarhus UniversityAarhus University, Department of Economics, Monash University, University of Padua and Aarhus University
Downloads 61 (709,979)

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New Keynesian Model, Nonlinear SVAR, Non-recursive identification, State-dependent uncertainty shock, Risky steady state.

Why Does Risk Matter More in Recessions than in Expansions?

CESifo Working Paper No. 9328
Number of pages: 43 Posted: 12 Oct 2021
Martin M. Andreasen, Giovanni Caggiano, Giovanni Pellegrino and Efrem Castelnuovo
CREATES, Aarhus UniversityAarhus University, Department of Economics, Monash University, Aarhus University and University of Padua - Department of Economics
Downloads 25 (993,775)
Citation 1

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New Keynesian model, nonlinear SVAR, non-recursive identification, state-dependent uncertainty shock, risky steady state

18.

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
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 80 (604,949)
Citation 10

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

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
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 79 (609,232)
Citation 8

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

20.

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
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 73 (636,067)
Citation 10

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

21.

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
CREATES, Aarhus UniversityAarhus University
Downloads 57 (718,468)

Abstract:

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

22.

Biases in Predictive Regressions when there is a Rational Bubble

Number of pages: 41 Posted: 16 May 2024
Martin M. Andreasen
CREATES, Aarhus UniversityAarhus University
Downloads 54 (736,169)

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Bubble Robust Predictability Regression, Expected Dividend Growth, Reverse Stambaugh Bias, Stambaugh Bias

23.

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. 2018-56
Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Martin M. Andreasen and Andrew Meldrum
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 47 (781,111)
Citation 3

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

24.

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
CREATES, Aarhus UniversityAarhus University and Board of Governors of the Federal Reserve System
Downloads 47 (781,111)
Citation 2

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

25.

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: 15 May 2023
Martin M. Andreasen, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
CREATES, Aarhus UniversityAarhus University, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 42 (816,606)
Citation 50

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26.

The New Keynesian Model and Bond Yields

Number of pages: 53 Posted: 16 Sep 2024
Martin M. Andreasen
CREATES, Aarhus UniversityAarhus University
Downloads 27 (944,275)

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