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Dynamic term structure models : the best way to enforce the zero lower bound in the United States

Andreasen, Martin Møller; Meldrum, Andrew - 2015

Persistent link: https://www.econbiz.de/10011402727

Dynamic term structure models : the best way to enforce the zero lower bound

Andreasen, Martin Møller; Meldrum, Andrew - 2014

Persistent link: https://www.econbiz.de/10010438075

How to maximize the likelihood function for a DSGE model

Andreasen, Martin Møller - In: Computational economics 35 (2010) 2, pp. 127-154

Persistent link: https://www.econbiz.de/10003947913

The business cycle implications of bank's maturity transformation

Andreasen, Martin Møller; Ferman, Marcelo; Zabczyk, Pawel - 2012

Persistent link: https://www.econbiz.de/10009559860

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

Andreasen, Martin M.; Zabczyk, Pawel - 2011

This paper develops a fast method of computing arbitrary order perturbation approximations to bond prices in DSGE models. The procedure is implemented to third order where it can shorten the approximation process by more than 100 times. In a consumption-based endowment model with habits, it is...