Research

Publications:

• 1. Andreasen, Martin M, Giovanni Caggiano, Efrem Castelnuovo, and Giovanni Pellegrino (forthcoming): "Does Risk Matter More in Recessions 1 than in Expansions? Implications for Monetary Policy", Forthcoming in the Journal of Monetary Economics. Paper, Online Appendix, and Replication Codes .

  2. Andreasen, Martin M and Anders Kronborg (2022): "The Extended Perturbation Method: With Applications to the New Keynesian Model and the Zero Lower Bound", Quantitative Economics, Volume 13, issue 3, pp. 1171-1202.  Paper. Online Appendix. Toolbox for Extended Perturbation. Replication codes .

  3. Andreasen, Martin M., Jens H. E. Christensen, and Simon Riddell (2021): "The TIPS Liquidity Premium". Review of Finance, Volume 25, issue 6, pp. 1639-1675. Paper 

  4. Andreasen, Martin M., Tom Engsted, Stig V. Møller, and Magnus Sander (2021): "The Yield Spread and Bond Return Predictability in Expansions and Recessions", Review of Financial Studies, Volume 34, issue 6, pp. 2773-2812. Paper, ReplicationCodes, and Supplementary Note . 

  5. Andreasen, Martin M. and Kasper Jørgensen (2020): "The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models", Journal of Monetary Economics, Volume 111, pages 95-117. Paper  and  Online Appendix.

  6. Andreasen, Martin M., Jens H. E. Christensen, and Glenn Rudebusch (2019): "Term Structure Analysis with Bigger Data: One-Step Estimation Using Bond Prices", Journal of Econometrics, Volume 212, Issue 1, September, Pages 26-46. Paper

  7. Andreasen, Martin M. and Andrew Meldrum (Forthcoming): "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States", Journal of Financial and Quantitative Analysis, Volume 54, Issue 5, October, Pages 2261-2292. Paper

  8. Andreasen, Martin M., Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez (2018): "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications", Review of Economic Studies, Volume 85, Issue 1, Pages 1–49.  Paper  and Online Appendix. Codes for Dynare 4.4: PruningPackage4.4. Third-order GMM estimation package for DSGE models. Replication Codes.

  9. Andreasen, Martin M. and Christensen, Bent Jesper (2015): "The SR Approach: A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models", Journal of Econometrics, Volume 184, Issue 2, February 2015, Pages 420-451. Paper and Online Appendix. Matlab: The SR approach.

  10. Andreasen, Martin M. and Zabczyk, Pawel (2015): "Efficient Bond Price Approximations in Non-Linear Equilibrium-Based Term Structure Models", Studies in Nonlinear Dynamics & Econometrics, Volume 19, Issue 1, February 2015, Pages 1-34. Paper and Online Appendix. Solution Package: POP.

  11. Andreasen, Martin M., Marcelo Ferman, and Pawel Zabczyk (2013): "The Business Cycle Implications of Banks' Maturity Transformation", Review of Economic Dynamics, Volume 16, Issue 4, October 2013, Pages 581-600. Paper and Online Appendix. Codes 

  12. Andreasen, Martin M. (2013): "Non-Linear DSGE Models and the Central Difference Kalman Filter", Journal of Applied Econometrics, Volume 28, Issue 6, September/October 2013, Pages 929-955. Paper, Online Appendix and Matlab Codes: CDKF.

  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, Volume 56, Issue 8, November 2012, Pages 1656–1674.  Paper and  Online Appendix..

  14. Andreasen, Martin M. (2012): "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models", Review of Economic Dynamics, Volume 15, Issue 3, July 2012, Pages 295–316. Paper and Online Appendix. Replication Codes. Third-order Solution Package.

  15. Andreasen, Martin M. (2011): "Non-Linear DSGE Models and The Optimized Central Difference Particle Filter", Journal of Economic Dynamics and Contol, 35(10), pp. 1671-1695. Paper and Online Appendix. Illustration of Particle Filters.

  16. Andreasen, Martin M. (2010): "How to Maximize the Likelihood Function for a DSGE Model", Computational Economics,35 (2), 127-154. Paper, Matlab Codes and Fortran Codes.

  17. Andreasen, Martin M. (2010): "Stochastic Volatility and DSGE models", Economics Letters, 108, 7-9. Paper. 

  18. Andreasen, Martin M. (2010): "Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends", The B.E. Journal of Macroeconomics (Topics), 10, Article 16. Paper.

Working papers:

1. Andreasen, M. M., G. Caggiano, E. Castelnuovo, and G. Pellegrino: "Why Does Risk Matter More in Recessions than in Expansions?". Paper

2. Andreasen, Martin M, K. Jørgensen, and A. Meldrum: "Bond Risk Premiums at the Zero Lower Bound". Paper

3. Andreasen, Martin M and M. Dang: "Estimating the Price Markup in the New Keynesian Model". Paper

4. Andreasen, Martin M. and Andrew Meldrum (2015): "Market beliefs about the UK monetary police lift-off horizon: A no-arbitrage shadow rate term structure model approach. Bank of England working paper no. 541.

5. Andreasen, Martin M. and Andrew Meldrum (2011): "Likelihood Inference in Non-Linear Term Structure Models: The Importance of the Zero Lower Bound", Working Paper.

6. Andreasen, Martin M. (2011): "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-Linear DSGE Model", CREATES Working Paper. Paper

Permanent working papers:

• 1. Andreasen, Martin M. (2010): "How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models", Bank of England Working Paper No. 417. Earlier version of "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"

  2. Andreasen, Martin M. (2008): "Non-Linear DSGE Models, the Central Difference Kalman Filter, and the Mean Shifted Particle Filter", CREATES Research Paper 2008-33. Paper. New versions of the contents of this paper can be found in "Non-Linear DSGE Models and The Optimized Central Difference Particle Filter" and "Non-Linear DSGE Models and the Central Difference Kalman Filter".

All working papers can be downloaded from SSRN:

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=785891