Martin Møller Andreasen
Martin Møller Andreasen is full professor at Aarhus University and CREATES. He holds a PhD from Aarhus University in Macro-Finance, and has a BSc and MSc degree in economics from Aarhus University. Martin has practical central bank and hedge fund experience, and has 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.
Andreasen, M. M., Engsted, T., Møller, S. V. & Jensen, M. D. S. (2021). The Yield Spread and Bond Return Predictability in Expansions and Recessions. Review of Financial Studies, 34(6), 2773-2812. https://doi.org/10.1093/rfs/hhaa107
Andreasen, M. M., Christensen, J. H. E. & Riddell, S. (2021). The TIPS Liquidity Premium. Review of Finance, 25(6), 1639-1675. https://doi.org/10.1093/rof/rfab018
Andreasen, M. M. & Christensen, B. J. (2015). The SR Approach: A New Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models. Journal of Econometrics, 184(2), 420-451. https://doi.org/10.1016/j.jeconom.2014.10.002
Andreasen, M. M., Fernández-Villaverde, J. & Rubio-Ramírez, J. F. (2018). The pruned state-space system for non-linear DSGE models: Theory and empirical applications. Review of Economic Studies, 85(1), 1-49. https://doi.org/10.1093/restud/rdx037
Andreasen, M. M. & Jørgensen, K. (2020). The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models. Journal of Monetary Economics, 111, 95-117. https://doi.org/10.1016/j.jmoneco.2019.01.008
Andreasen, M. M. & Kronborg, A. F. (2022). The extended perturbation method: With applications to the New Keynesian model and the zero lower bound. Quantitative Economics, 13(3), 1171-1202. https://doi.org/10.3982/QE1102
Andreasen, M. M., Ferman, M. & Zabczyk, P. (2013). The Business Cycle Implications of Banks’ Maturity Transformation. Review of Economic Dynamics, 16(4), 581-600. https://doi.org/10.1016/j.red.2012.12.001
Andreasen, M. M., Christensen, J. H. E. & Rudebusch, G. D. (2019). Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. Journal of Econometrics, 212(1), 26-46. https://doi.org/10.1016/j.jeconom.2019.04.019
Andreasen, M. M. (2012). On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models. Review of Economic Dynamics, 15(3), 295–316. https://doi.org/10.1016/j.red.2011.08.001
Andreasen, M. M. (2013). Non-Linear DSGE Models and the Central Difference Kalman Filter. Journal of Applied Econometrics, 28(6), 929-955. https://doi.org/10.1002/jae.2282
Andreasen, M. M. & Zabczyk, P. (2015). Efficient Bond Price Approximations in Non-Linear Equilibrium-Based Term Structure Models. Studies in Nonlinear Dynamics and Econometrics (Online), 19(1), 1-33. https://doi.org/10.1515/snde-2012-0005
Andreasen, M. M. & Meldrum, A. (2019). 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, 54(5), 2261-2292. https://doi.org/10.1017/S0022109018001576
Andreasen, M. M. (2012). An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia. European Economic Review, 56(8), 1656–1674. https://doi.org/10.1016/j.euroecorev.2012.09.006
