Research output per year
Research output per year
- 21 results
Search results
-
2025
Bond risk premiums at the zero lower bound
Andreasen, M. M., Jørgensen, K. & Meldrum, A., Jan 2025, In: Journal of Econometrics. 247, 105939.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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The New Keynesian Model and Bond Yields
Andreasen, M. M., Mar 2025, (E-pub / Early view) In: Journal of Financial and Quantitative Analysis.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access -
2024
Does risk matter more in recessions than in expansions? Implications for monetary policy
Andreasen, M. M., Caggiano, G., Castelnuovo, E. & Pellegrino, G., Apr 2024, In: Journal of Monetary Economics. 143, 103533.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
5 Citations (Scopus) -
2022
The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
Andreasen, M. M. & Kronborg, A. F., Jul 2022, In: Quantitative Economics. 13, 3, p. 1171-1202 32 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access1 Citation (Scopus) -
2021
The TIPS Liquidity Premium
Andreasen, M. M., Christensen, J. H. E. & Riddell, S., Nov 2021, In: Review of Finance. 25, 6, p. 1639-1675 37 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access12 Citations (Scopus) -
The Yield Spread and Bond Return Predictability in Expansions and Recessions
Andreasen, M. M., Engsted, T., Møller, S. V. & Jensen, M. D. S., Jun 2021, In: Review of Financial Studies. 34, 6, p. 2773-2812 40 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile10 Citations (Scopus)355 Downloads (Pure) -
2020
The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models
Andreasen, M. M. & Jørgensen, K., May 2020, In: Journal of Monetary Economics. 111, p. 95-117Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile9 Citations (Scopus)125 Downloads (Pure) -
2019
A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States
Andreasen, M. M. & Meldrum, A., Oct 2019, In: Journal of Financial and Quantitative Analysis. 54, 5, p. 2261-2292 32 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile8 Citations (Scopus)77 Downloads (Pure) -
Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
Andreasen, M. M., Christensen, J. H. E. & Rudebusch, G. D., Sept 2019, In: Journal of Econometrics. 212, 1, p. 26-46 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile21 Citations (Scopus)120 Downloads (Pure) -
2018
The pruned state-space system for non-linear DSGE models: Theory and empirical applications
Andreasen, M. M., Fernández-Villaverde, J. & Rubio-Ramírez, J. F., 1 Jan 2018, In: Review of Economic Studies. 85, 1, p. 1-49 49 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile83 Citations (Scopus)268 Downloads (Pure) -
2015
Efficient Bond Price Approximations in Non-Linear Equilibrium-Based Term Structure Models
Andreasen, M. M. & Zabczyk, P., Feb 2015, In: Studies in Nonlinear Dynamics and Econometrics (Online). 19, 1, p. 1-33Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile4 Citations (Scopus)474 Downloads (Pure) -
The SR Approach: A New Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models
Andreasen, M. M. & Christensen, B. J., 2015, In: Journal of Econometrics. 184, 2, p. 420-451Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile16 Citations (Scopus)269 Downloads (Pure) -
2013
Non-Linear DSGE Models and the Central Difference Kalman Filter
Andreasen, M. M., 2013, In: Journal of Applied Econometrics. 28, 6, p. 929-955Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
27 Citations (Scopus) -
The Business Cycle Implications of Banks’ Maturity Transformation
Andreasen, M. M., Ferman, M. & Zabczyk, P., 2013, In: Review of Economic Dynamics. 16, 4, p. 581-600Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
10 Citations (Scopus) -
2012
An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia
Andreasen, M. M., 2012, In: European Economic Review. 56, 8, p. 1656–1674Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
21 Citations (Scopus) -
On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models
Andreasen, M. M., 2012, In: Review of Economic Dynamics. 15, 3, p. 295–316Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
59 Citations (Scopus) -
2011
Non-linear DSGE models and the optimized central difference particle filter
Andreasen, M. M., 2011, In: Journal of Economic Dynamics and Control. 35, 10, p. 1671-1695Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
12 Citations (Scopus) -
Non-Linear DSGE Models and the Optimized Central Difference Particle Filter
Andreasen, M. M., 2011, In: Journal of Economic Dynamics and Control. 35, 10, p. 1671-1695Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
12 Citations (Scopus) -
2010
How to Maximize the Likelihood Function for a DSGE Model
Andreasen, M. M., 2010, In: Computational Economics. 35, p. 127-154Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
14 Citations (Scopus) -
Stochastic Volatility and DSGE models
Andreasen, M. M., 2010, In: Economics Letters. 108, p. 7-9Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
4 Citations (Scopus) -
Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends
Andreasen, M. M., 2010, In: B E Journals in Macroeconomics. 10Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review