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Martin Møller Andreasen

Personal Details

First Name:Martin
Middle Name:Møller
Last Name:Andreasen
Suffix:
RePEc Short-ID:pan383
[This author has chosen not to make the email address public]
https://sites.google.com/site/mandreasendk/

Affiliation

Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.au.dk/om/organisation/institutter/departmentofeconomicsandbusiness/

:


RePEc:edi:ifoaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Andreasen, Martin M. & Christensen, Jens H. E. & Rudebusch, Glenn D., 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
  2. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.
  3. Zabczyk, Pawel & Andreasen, Martin M. & Ferman, Marcelo, 2012. "The business cycle implications of banks' maturity transformation," Working Paper Series 1489, European Central Bank.
  4. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.
  5. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
  6. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  7. Martin M. Andreasen, 2010. "How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models," CREATES Research Papers 2010-63, Department of Economics and Business Economics, Aarhus University.
  8. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Central Difference Kalman Filter," CREATES Research Papers 2010-30, Department of Economics and Business Economics, Aarhus University.
  9. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, Department of Economics and Business Economics, Aarhus University.
  10. Martin M. Andreasen, 2009. "Stochastic Volatility and DSGE Models," CREATES Research Papers 2009-29, Department of Economics and Business Economics, Aarhus University.
  11. Martin Møller Andreasen, 2008. "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers 2008-32, Department of Economics and Business Economics, Aarhus University.
  12. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
  13. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.
  14. Martin Møller Andreasen, 2008. "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers 2008-26, Department of Economics and Business Economics, Aarhus University.
  15. Martin M. Andreasen & Bent Jesper Christensen, "undated". "The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models," CREATES Research Papers 2010-12, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
  2. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  3. Martin Andreasen, 2012. "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, vol. 15(3), pages 295-316, July.
  4. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.
  5. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
  6. Andreasen Martin M, 2010. "Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-41, June.
  7. Martin Andreasen, 2010. "How to Maximize the Likelihood Function for a DSGE Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(2), pages 127-154, February.

Software components

  1. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2012. "Code and data files for "The Business Cycle Implications of Banks' Maturity Transformation"," Computer Codes 11-169, Review of Economic Dynamics.
  2. Martin Andreasen, 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 11-84, Review of Economic Dynamics.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.

    Cited by:

    1. Kollmann, Robert, 2013. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation," CEPR Discussion Papers 9469, C.E.P.R. Discussion Papers.
    2. Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
    3. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
    4. Carrillo, Julio A. & Mendoza, Enrique G. & Nuguer, Victoria & Roldán-Peña, Jessica, 2018. "Tight money - tight credit: coordination failure in the conduct of monetary and financial policies," Working Paper Series 2129, European Central Bank.
    5. Javier García-Cicco & Enrique Kawamura, 2015. "Dealing with the Dutch Disease: Fiscal Rules and Macro-Prudential Policies," IDB Publications (Working Papers) 7087, Inter-American Development Bank.
    6. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
    7. Robert Kollmann, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," Working Papers ECARES ECARES 2015-43, ULB -- Universite Libre de Bruxelles.
    8. Foerster, Andrew T. & Rubio-Ramirez, Juan F. & Waggoner, Daniel F. & Zha, Tao, 2014. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2014-16, Federal Reserve Bank of Atlanta.
    9. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    10. Kollmann, Robert, 2014. "Exchange rates dynamics with long-run risk and recursive preferences," Globalization and Monetary Policy Institute Working Paper 212, Federal Reserve Bank of Dallas.
    11. Jinill, Kim & Ruge-Murcia, Francisco, 2018. "Extreme events and optimal monetary policy," Research Discussion Papers 4/2018, Bank of Finland.
    12. Munechika Katayama & Kwang Hwan Kim, 2017. "Uncertainty Shocks and the Relative Price of Investment Goods," Discussion papers e-16-015, Graduate School of Economics , Kyoto University.
    13. Benjamin Born & Johannes Pfeifer, 2017. "Uncertainty-driven Business Cycles: Assessing the Markup Channel," CESifo Working Paper Series 6303, CESifo Group Munich.
    14. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    15. Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
    16. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    17. Andrew T. Foerster, 2016. "Monetary Policy Regime Switches And Macroeconomic Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57, pages 211-230, February.
    18. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    19. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    20. Pau Rabanal & Dominic Quint, 2017. "Should Unconventional Monetary Policies Become Conventional?," 2017 Meeting Papers 526, Society for Economic Dynamics.
    21. Dlugoszek, Grzegorz, 2017. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168182, Verein für Socialpolitik / German Economic Association.
    22. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    23. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
    24. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
    25. Julio A. Carrillo & Gert Peersman & Joris Wauters, 2014. "Endogenous Wage Indexation and Aggregate Shocks," CESifo Working Paper Series 4816, CESifo Group Munich.
    26. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    27. Victoria Nuguer & Jessica Roldan-Pena & Enrique Mendoza & Julio Carrillo, 2016. "When the Central Bank Meets the Financial Authority: Strategic Interactions and Institutional Design," 2016 Meeting Papers 1461, Society for Economic Dynamics.
    28. Julio Blanco & Gaston Navarro, 2016. "The Unemployment Accelerator," CESifo Working Paper Series 6248, CESifo Group Munich.
    29. Higgins, C. Richard, 2017. "Estimating general equilibrium models with stochastic volatility and changing parameters," Economic Modelling, Elsevier, vol. 66(C), pages 163-170.
    30. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
    31. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    32. Balke, Nathan S. & Martinez-Garcia, Enrique & Zeng, Zheng, 2017. "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization and Monetary Policy Institute Working Paper 317, Federal Reserve Bank of Dallas.
    33. Samil Oh & Thepthida Sopraseuth, 2017. "Firm entry, Search and Matching in a Small Open Economy Faced with Uncertainty Shocks: The case of Korea," THEMA Working Papers 2017-27, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    34. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  2. Zabczyk, Pawel & Andreasen, Martin M. & Ferman, Marcelo, 2012. "The business cycle implications of banks' maturity transformation," Working Paper Series 1489, European Central Bank.

    Cited by:

    1. Punnoose Jacob & Anella Munro, 2016. "A macroprudential stable funding requirement and monetary policy in a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2016/04, Reserve Bank of New Zealand.
    2. Smith, A. A. & Wang, Cheng, 2006. "Dynamic Credit Relationships in General Equilibrium," Staff General Research Papers Archive 12263, Iowa State University, Department of Economics.
    3. Matteo Iacoviello, 2010. "Financial Business Cycles," 2010 Meeting Papers 1053, Society for Economic Dynamics.
    4. Kühl, Michael, 2014. "Bank capital, the state contingency of banks' assets and its role for the transmission of shocks," Discussion Papers 25/2014, Deutsche Bundesbank.
    5. Andreasen, Martin & Ferman, Marcelo & Zabczyk, Pawel, 2012. "The business cycle implications of banks’ maturity transformation," Bank of England working papers 446, Bank of England.
    6. Holmberg, Ulf, 2012. "The Credit Market and the Determinants of Credit Crunches: An Agent Based Modeling Approach," Umeå Economic Studies 836, Umeå University, Department of Economics.
    7. Pau Rabanal & Dominic Quint, 2017. "Should Unconventional Monetary Policies Become Conventional?," 2017 Meeting Papers 526, Society for Economic Dynamics.
    8. Alessandri, Piergiorgio & Nelson, Benjamin, 2012. "Simple banking: profitability and the yield curve," Bank of England working papers 452, Bank of England.
    9. Moises S. Andrade & Tiago Berriel, 2016. "Is There an Output Free Lunch for Fiscal Inationary Policies?," Textos para discussão 650, Department of Economics PUC-Rio (Brazil).
    10. Kühl, Michael, 2014. "The financial accelerator and market-based debt instruments: A role for maturities?," Discussion Papers 08/2014, Deutsche Bundesbank.
    11. Danilo Liberati, 2014. "An estimated DSGE model with search and matching frictions in the credit market," Temi di discussione (Economic working papers) 986, Bank of Italy, Economic Research and International Relations Area.
    12. Elton Beqiraj & Giovanni Di Bartolomeo & Marco Di Pietro & Carolina Serpieri, 2017. "Resilience, crisis contagion, and vulnerability in Central Europe and the Baltics," JRC Working Papers JRC109632, Joint Research Centre (Seville site).

  3. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.

    Cited by:

    1. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    2. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    3. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
    4. Grzegorz Wesołowski, 2016. "Do long term interest rates drive GDP and inflation in small open economies? Evidence from Poland," NBP Working Papers 242, Narodowy Bank Polski, Economic Research Department.

  4. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.

    Cited by:

    1. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
    2. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    3. Andreasen, Martin M. & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CEPR Discussion Papers 9442, C.E.P.R. Discussion Papers.
    4. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    5. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
    6. F. Canova & F. Ferroni & C. Matthes, 2015. "Approximating time varying structural models with time invariant structures," Working papers 578, Banque de France.
    7. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    8. Swanson, Eric T., 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," Working Paper Series 2013-30, Federal Reserve Bank of San Francisco, revised 03 Sep 2014.
    9. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    10. Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
    11. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
    12. Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    13. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    14. Andrew Binning, 2013. "Third-order approximation of dynamic models without the use of tensors," Working Paper 2013/13, Norges Bank.
    15. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    16. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
    17. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    18. Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
    19. Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2018. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 51-70, April.
    20. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    21. Burkhard Heer & Alfred Maußner, 2013. "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, vol. 14(3), pages 372-397, August.
    22. Andrew Binning, 2013. "Solving second and third-order approximations to DSGE models: A recursive Sylvester equation solution," Working Paper 2013/18, Norges Bank.
    23. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
    24. Eric T. Swanson, 2012. "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series 2012-17, Federal Reserve Bank of San Francisco.
    25. Martin Kliem & Alexander Meyer-Gohde, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers SFB649DP2017-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    26. Hong Lan & Alexander Meyer-Gohde, 2013. "Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations," SFB 649 Discussion Papers SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    27. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.

  5. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.

    Cited by:

    1. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 213-223.

  6. Martin M. Andreasen, 2010. "How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models," CREATES Research Papers 2010-63, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    2. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    3. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    4. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.

  7. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Central Difference Kalman Filter," CREATES Research Papers 2010-30, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
    2. Andrew Binning & Junior Maih, 2015. "Sigma point filters for dynamic nonlinear regime switching models," Working Paper 2015/10, Norges Bank.
    3. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    4. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
    5. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    6. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.
    7. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.

  8. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
    2. Matthew Smith, 2012. "Estimating Nonlinear Economic Models Using Surrogate Transitions," 2012 Meeting Papers 494, Society for Economic Dynamics.

  9. Martin M. Andreasen, 2009. "Stochastic Volatility and DSGE Models," CREATES Research Papers 2009-29, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
    2. Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
    3. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  10. Martin Møller Andreasen, 2008. "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers 2008-32, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Giovanni Angelini & Luca Fanelli Fanelli, 2015. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    2. Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
    3. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.
    4. Stephen Morris, 2014. "The Statistical Implications of Common Identifying Restrictions for DSGE Models," 2014 Meeting Papers 738, Society for Economic Dynamics.
    5. Burgess, Stephen & Fernandez-Corugedo, Emilio & Groth, Charlotta & Harrison, Richard & Monti, Francesca & Theodoridis, Konstantinos & Waldron, Matt, 2013. "The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models," Bank of England working papers 471, Bank of England.
    6. Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    7. Blagov, Boris & Funke, Michael, 2015. "The regime-dependent evolution of credibility: A fresh look at Hong Kong's linked exchange rate system," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112819, Verein für Socialpolitik / German Economic Association.
    8. Boris Blagov, 2018. "Financial crises and time-varying risk premia in a small open economy: a Markov-switching DSGE model for Estonia," Empirical Economics, Springer, vol. 54(3), pages 1017-1060, May.
    9. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    10. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
    11. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa & Krzysztof Makarski, 2017. "Could the boom-bust in the eurozone periphery have been prevented?," GRAPE Working Papers 17, GRAPE Group for Research in Applied Economics.
    12. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    13. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
    14. Solomon, Bernard Daniel, 2010. "Firm leverage, household leverage and the business cycle," MPRA Paper 26504, University Library of Munich, Germany.
    15. Morrisy, Stephen D., 2017. "Efficient estimation of macroeconomic equations with unobservable states," Economic Modelling, Elsevier, vol. 60(C), pages 408-423.
    16. Mickelsson, Glenn, 2015. "Estimation of DSGE models: Maximum Likelihood vs. Bayesian methods," Working Paper Series 2015:6, Uppsala University, Department of Economics.
    17. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    18. Tae Bong Kim & Hangyu Lee, 2016. "Macroeconomic Shocks and Dynamics of Labor Markets in Korea," Korean Economic Review, Korean Economic Association, vol. 32, pages 101-136.
    19. Dario Caldara & Richard Harrison & Anna Lipinska, 2012. "Practical tools for policy analysis in DSGE models with missing channels," Finance and Economics Discussion Series 2012-72, Board of Governors of the Federal Reserve System (U.S.).
    20. Liran Einav & Amy Finkelstein & Paul Schrimpf, 2013. "The Response of Drug Expenditures to Non-Linear Contract Design: Evidence from Medicare Part D," NBER Working Papers 19393, National Bureau of Economic Research, Inc.
    21. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.

  11. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Sergey Ivashchenko, 2014. "DSGE Model Estimation on the Basis of Second-Order Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 43(1), pages 71-82, January.
    2. Sergey Ivashchenko, 2014. "Forecasting in a Non-Linear DSGE Model," EUSP Department of Economics Working Paper Series Ec-02/14, European University at St. Petersburg, Department of Economics.
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    4. Den Haan, Wouter J. & De Wind, Joris, 2012. "Nonlinear and stable perturbation-based approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1477-1497.
    5. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    6. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.

  12. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Darracq Pariès, Matthieu & Loublier, Alexis, 2010. "Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy," Working Paper Series 1209, European Central Bank.
    2. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
    3. Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska, Marta, 2013. "Time-varying inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York, revised 01 Nov 2017.
    4. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    5. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    6. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    7. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    8. Horváth, Roman & Maršál, Aleš, 2014. "The term structure of interest rates in a small open economy DSGE model with Markov switching," FinMaP-Working Papers 22, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

  13. Martin Møller Andreasen, 2008. "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers 2008-26, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
    2. Martin Møller Andreasen, 2008. "How to Maximize the Likelihood Function for a DSGE Model," CREATES Research Papers 2008-32, Department of Economics and Business Economics, Aarhus University.
    3. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.

  14. Martin M. Andreasen & Bent Jesper Christensen, "undated". "The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models," CREATES Research Papers 2010-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    2. Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.

Articles

  1. Martin Andreasen & Marcelo Ferman & Pawel Zabczyk, 2013. "The Business Cycle Implications of Banks' Maturity Transformation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 581-600, October.
    See citations under working paper version above.
  2. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.

    Cited by:

    1. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
    2. Georgiadis, Georgios & Jančoková, Martina, 2017. "Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks," Working Paper Series 2082, European Central Bank.
    3. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
    4. Swanson, Eric T., 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," Working Paper Series 2013-30, Federal Reserve Bank of San Francisco, revised 03 Sep 2014.
    5. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    6. Benjamin Born & Johannes Pfeifer, 2014. "Risk Matters: The Real Effects of Volatility Shocks: Comment," American Economic Review, American Economic Association, vol. 104(12), pages 4231-4239, December.
    7. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Working Papers 760, Queen Mary University of London, School of Economics and Finance.
    8. Marco Casiraghi & Marcello Miccoli, 2015. "Risk-adjusted expectations of inflation," Questioni di Economia e Finanza (Occasional Papers) 286, Bank of Italy, Economic Research and International Relations Area.
    9. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    10. Born, Benjamin & Pfeifer, Johannes, 2014. "Risk Matters: A Comment," Dynare Working Papers 39, CEPREMAP.
    11. Martin Kliem & Alexander Meyer-Gohde, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers SFB649DP2017-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
    13. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
    14. Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
    15. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.

  3. Martin Andreasen, 2012. "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, vol. 15(3), pages 295-316, July. See citations under working paper version above.
  4. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.

    Cited by:

    1. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    2. Jakob Grazzini & Matteo Richiardi, 2014. "Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance," Economics Papers 2014-W07, Economics Group, Nuffield College, University of Oxford.
    3. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
    4. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
    5. Yang, Yuan & Wang, Lu, 2016. "An auxiliary particle filter for nonlinear dynamic equilibrium models," Economics Letters, Elsevier, vol. 144(C), pages 112-114.

  5. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
    See citations under working paper version above.
  6. Martin Andreasen, 2010. "How to Maximize the Likelihood Function for a DSGE Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(2), pages 127-154, February.
    See citations under working paper version above.

Software components

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (14) 2008-06-27 2008-06-27 2008-06-27 2008-09-05 2009-07-11 2010-02-20 2010-08-28 2010-10-09 2011-03-26 2011-03-26 2012-01-03 2012-04-03 2013-01-07 2013-04-27. Author is listed
  2. NEP-CBA: Central Banking (8) 2008-06-27 2008-06-27 2008-09-05 2010-02-20 2010-08-28 2011-03-26 2011-03-26 2012-04-03. Author is listed
  3. NEP-ECM: Econometrics (7) 2008-06-27 2008-06-27 2008-06-27 2009-07-11 2010-02-20 2010-08-28 2017-10-15. Author is listed
  4. NEP-MAC: Macroeconomics (7) 2008-06-27 2008-06-27 2008-06-27 2008-09-05 2009-07-11 2012-04-03 2013-01-07. Author is listed
  5. NEP-ETS: Econometric Time Series (6) 2008-06-27 2008-06-27 2008-06-27 2009-07-11 2010-02-20 2010-08-28. Author is listed
  6. NEP-ORE: Operations Research (3) 2010-08-28 2010-10-09 2011-03-26
  7. NEP-BAN: Banking (2) 2012-04-03 2013-01-07
  8. NEP-CMP: Computational Economics (2) 2008-06-27 2011-03-26
  9. NEP-MON: Monetary Economics (2) 2008-09-05 2012-04-03
  10. NEP-UPT: Utility Models & Prospect Theory (2) 2010-10-09 2011-03-26
  11. NEP-BEC: Business Economics (1) 2009-07-11
  12. NEP-BIG: Big Data (1) 2017-10-15
  13. NEP-FMK: Financial Markets (1) 2017-10-15

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