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On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models

Review of economic dynamics, 2012-07, Vol.15 (3), p.295-316

Andreasen, Martin M.

2012

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The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

The Review of economic studies, 2018-01, Vol.85 (1 (302)), p.1-49

2018

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Does risk matter more in recessions than in expansions? Implications for monetary policy

Journal of monetary economics, 2024-04, Vol.143, p.103533, Article 103533

2024

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The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

Journal of monetary economics, 2020-05, Vol.111, p.95-117

2020

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The Yield Spread and Bond Return Predictability in Expansions and Recessions

The Review of financial studies, 2021-06, Vol.34 (6), p.2773-2812

2021

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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, 2019-10, Vol.54 (5), p.2261-2292

2019

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NON-LINEAR DSGE MODELS AND THE CENTRAL DIFFERENCE KALMAN FILTER

Journal of applied econometrics (Chichester, England), 2013-09, Vol.28 (6), p.929-955

Andreasen, Martin M.

2013

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Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices

Journal of econometrics, 2019-09, Vol.212 (1), p.26-46

2019

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The TIPS Liquidity Premium

Review of Finance, 2021-11, Vol.25 (6), p.1639-1675

2021

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The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

Quantitative economics, 2022-07, Vol.13 (3), p.1171-1202

2022

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An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia

European economic review, 2012-11, Vol.56 (8), p.1656-1674

Andreasen, Martin M.

2012

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The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models

Journal of econometrics, 2015-02, Vol.184 (2), p.420-451

2015

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The business cycle implications of banksʼ maturity transformation

Review of economic dynamics, 2013-10, Vol.16 (4), p.581-600

2013

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Non-linear DSGE models and the optimized central difference particle filter

Journal of economic dynamics & control, 2011-10, Vol.35 (10), p.1671-1695

Andreasen, Martin M.

2011

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Efficient bond price approximations in non-linear equilibrium-based term structure models

Studies in nonlinear dynamics and econometrics, 2015-02, Vol.19 (1), p.1-33

2015

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Stochastic volatility and DSGE models

Economics letters, 2010-07, Vol.108 (1), p.7-9

Andreasen, Martin M

2010

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Correction to: The TIPS Liquidity Premium

Review of Finance, 2022-03, Vol.26 (2), p.443-443

2022

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Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

The B.E. journal of macroeconomics, 2010-01, Vol.10 (1)

Andreasen, Martin M

2010

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Bond Risk Premiums at the Zero Lower Bound

Finance and economics discussion series, 2019-05, Vol.2019 (40)

2019

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A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

Finance and economics discussion series, 2018-08, Vol.2018 (56)

2018

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An estimated DSGE model: explaining variation in term premia

Bank of England quarterly bulletin, 2012-01, Vol.52 (1), p.69-69

Andreasen, Martin M

2012

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How non-Gaussian shocks affect risk premia in non-linear DSGE models

Bank of England quarterly bulletin, 2011-04, Vol.51 (2), p.143-190

Andreasen, Martin M

2011

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Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

The B.E. journal of macroeconomics, 2010, Vol.10 (16)

Andreasen, Martin M

2010

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An efficient method of computing higher-order bond price perturbation approximations

Bank of England quarterly bulletin, 2011-04, Vol.51 (2), p.142-179

2011

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TIPS liquidity and the outlook for inflation

FRBSF Economic Letter, 2016, p.1

2016

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On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Does risk matter more in recessions than in expansions? Implications for monetary policy

The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

The Yield Spread and Bond Return Predictability in Expansions and Recessions

A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

NON-LINEAR DSGE MODELS AND THE CENTRAL DIFFERENCE KALMAN FILTER

Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices

The TIPS Liquidity Premium

The extended perturbation method: With applications to the New Keynesian model and the zero lower bound

An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia

The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models

The business cycle implications of banksʼ maturity transformation

Non-linear DSGE models and the optimized central difference particle filter

Efficient bond price approximations in non-linear equilibrium-based term structure models

Stochastic volatility and DSGE models

Correction to: The TIPS Liquidity Premium

Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

Bond Risk Premiums at the Zero Lower Bound

A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States

An estimated DSGE model: explaining variation in term premia

How non-Gaussian shocks affect risk premia in non-linear DSGE models

Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

An efficient method of computing higher-order bond price perturbation approximations

TIPS liquidity and the outlook for inflation

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