Details about Martin Møller Andreasen

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Short-id: pan383

Working Papers

2017

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

2013

2. 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

3. 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

4. An efficient method of computing higher-order bond price perturbation approximations
   Bank of England working papers, Bank of England View citations (5)
5. An estimated DSGE model: explaining variation in term premia
   Bank of England working papers, Bank of England View citations (2)
6. 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)
7. 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 (102) (2012)

2010

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

2009

10. 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

11. Ensuring the Validity of the Micro Foundation in DSGE Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
12. 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)
13. 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)
14. 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

15. 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

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

2012

2. 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)
3. 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 (102)
   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

4. 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

5. 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)
6. 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)
7. 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

1. 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

2. 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 (102) (2012)