Martin Møller Andreasen

Professor, Associate professor

Martin Møller Andreasen


Professor, PhD
Member of the Econometrics Section

Education: cand.oecon, PhD
Position: Professor, 2016
Administrative Assistant: Solveig N. Sørensen

Personal webpage

I hold a PhD from Aarhus University in Macro-Finance and have also got BSc and MSc degrees in economics from Aarhus University. I have practical central bank and hedge fund experience, having worked as a PhD Economist in the Macro-Financial Analysis Division of the Bank of England from September 2008 to February 2011 and as a quantitive research economist at the London based hedge fund AHL, Man Investments, from March 2011 to August 2012

Teaching Interests

  • Financial markets and financial derivatives
  • Quantitative macro and New Keynesian models in general


Research Interests

  • The interaction between the macro economy, financial markets, and the banking sector
  • Dynamic term structure models with macro-variables
  • Non-linear filtering methods (sequential Monte Carlo methods)
  • Estimation and solution methods for Dynamic Stochastic General Equilibrium (DSGE) models
  • Bayesian Econometrics and MCMC methods
  • Simulation based optimization routines


Selected Publications

  • Andreasen, Martin M. and Christensen, Bent Jesper: "The SR Approach: A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models", Forthcoming in Journal of Econometrics
  • Andreasen, Martin M. and Zabczyk, Pawel: "Efficient Bond Price Approximations in Non-Linear Equilibrium-Based Term Structure Models", Forthcoming in Studies in Nonlinear Dynamics & Econometrics
  • Andreasen, Martin M., Ferman, M. and Zabczyk, P. (2013): "The Business Cycle Implications of Banks' Maturity Transformation", Review of Economic Dynamics, Volume 16, Issue 4, October 2013, Pages 581-600
  • 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
  • Andreasen, Martin M. (2012): "An Estimated DSGE Model: Explaining Variation in Nominal Term Premia, Real Term Premia, and Inflation Risk Premia", European Economic Review, 56, pp. 1656-1674.
  • 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
  • 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.
  • Andreasen, Martin M. (2010): "How to Maximize the Likelihood Function for a DSGE Model", Computational Economics,35 (2), 127-154.
  • Andreasen, Martin M. (2010): "Stochastic Volatility and DSGE models", Economics Letters, 108, 7-9.
  • 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.

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