Details about Michał Rubaszek

Access statistics for papers by Michał Rubaszek.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pru76

Working Papers

2024

1. The European energy crisis and the US natural gas market dynamics. A structural VAR investigation
   KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis
   See also Journal Article The European energy crisis and the US natural gas market dynamics: a structural VAR investigation, International Economics and Economic Policy, Springer (2025) (2025)

2023

2. The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
   KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis
   See also Journal Article The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets, Energy Economics, Elsevier (2024) (2024)

2022

3. Boosting carry with equilibrium exchange rate estimates
   Working Paper Series, European Central Bank View citations (1)
4. Forecasting: theory and practice
   Papers, arXiv.org View citations (70)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)
5. Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
   KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis View citations (3)
   See also Journal Article Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) View citations (3) (2024)

2020

6. Common factors and the dynamics of cereal prices. A forecasting perspective
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
   See also Journal Article Common factors and the dynamics of cereal prices. A forecasting perspective, Journal of Commodity Markets, Elsevier (2022) View citations (1) (2022)
7. The predictive power of equilibrium exchange rate models
   Working Paper Series, European Central Bank View citations (13)
   See also Journal Article The predictive power of equilibrium exchange rate models, Economic Bulletin Articles, European Central Bank (2021) View citations (1) (2021)

2019

8. Are flexible working hours helpful in stabilizing unemployment?
   Bank of Finland Research Discussion Papers, Bank of Finland
   Also in NBP Working Papers, Narodowy Bank Polski (2019) View citations (1)
9. Forecasting crude oil prices with DSGE models
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
   See also Journal Article Forecasting crude oil prices with DSGE models, International Journal of Forecasting, Elsevier (2021) View citations (8) (2021)

2018

10. Does the foreign sector help forecast domestic variables in DSGE models?
    NBP Working Papers, Narodowy Bank Polski View citations (7)
    Also in KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis (2016) View citations (3)
    EcoMod2016, EcoMod (2016) View citations (3)
    See also Journal Article Does the foreign sector help forecast domestic variables in DSGE models?, International Journal of Forecasting, Elsevier (2018) View citations (7) (2018)
11. Exchange rate forecasting on a napkin
    GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
    Also in Working Paper Series, European Central Bank (2018) View citations (2)
    See also Journal Article Exchange rate forecasting on a napkin, Journal of International Money and Finance, Elsevier (2020) View citations (20) (2020)

2017

12. Does rental housing market stabilize the economy? A micro and macro perspective
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) View citations (1)
    See also Journal Article Does the rental housing market stabilize the economy? A micro and macro perspective, Empirical Economics, Springer (2020) View citations (10) (2020)
13. Exchange rate forecasting with DSGE models
    NBP Working Papers, Narodowy Bank Polski View citations (34)
    Also in Working Paper Series, European Central Bank (2016) View citations (8)
    See also Journal Article Exchange rate forecasting with DSGE models, Journal of International Economics, Elsevier (2017) View citations (34) (2017)
14. Reforming housing rental market in a life-cycle model
    KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis
15. The sources and effects of rental market underdevelopment in Central Europe. The results of a survey and DSGE model simulations
    ERES, European Real Estate Society (ERES)

2015

16. On the importance of the dual labour market for a country within a monetary union
    NBP Working Papers, Narodowy Bank Polski
17. Real exchange rate forecasting and ppp: this time the random walk loses
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
    See also Journal Article Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses, Open Economies Review, Springer (2016) View citations (20) (2016)

2014

18. Forecasting with DSGE models with financial frictions
    Dynare Working Papers, CEPREMAP View citations (18)
    Also in EcoMod2013, EcoMod (2013) View citations (18)
    See also Journal Article Forecasting using DSGE models with financial frictions, International Journal of Forecasting, Elsevier (2015) View citations (29) (2015)
19. How frequently should we re-estimate DSGE models?
    NBP Working Papers, Narodowy Bank Polski
    See also Journal Article How Frequently Should We Reestimate DSGE Models?, International Journal of Central Banking, International Journal of Central Banking (2015) View citations (9) (2015)

2013

20. Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk
    Working Paper Series, European Central Bank
    Also in NBP Working Papers, Narodowy Bank Polski (2012) View citations (2)
    See also Journal Article Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses, Open Economies Review, Springer (2016) View citations (20) (2016)

2012

21. Bayesian analysis of recursive SVAR models with overidentifying restrictions
    Working Paper Series, European Central Bank View citations (6)
22. Determinants of credit to households in a life-cycle model
    Working Paper Series, European Central Bank View citations (4)
    Also in NBP Working Papers, Narodowy Bank Polski (2011) View citations (5)

2011

23. Forecasting the Polish zloty with non-linear models
    NBP Working Papers, Narodowy Bank Polski View citations (1)
    See also Journal Article Forecasting the Polish Zloty with Non-Linear Models, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2010) View citations (1) (2010)
24. Monetary policy in a non-representative agent economy: A survey
    NBP Working Papers, Narodowy Bank Polski View citations (1)
    See also Journal Article MONETARY POLICY IN A NON-REPRESENTATIVE AGENT ECONOMY: A SURVEY, Journal of Economic Surveys, Wiley Blackwell (2013) View citations (6) (2013)
25. Predictivistic Bayesian Forecasting System
    NBP Working Papers, Narodowy Bank Polski View citations (1)

2010

26. Firms in the great global recession: The role of foreign ownership and financial dependence
    NBP Working Papers, Narodowy Bank Polski View citations (42)
    See also Journal Article Firms in the great global recession: The role of foreign ownership and financial dependence, Emerging Markets Review, Elsevier (2010) View citations (38) (2010)
27. The Role of Two Interest Rates in the Intertemporal CA Model
    EcoMod2010, EcoMod

2009

28. Putting the New Keynesian DSGE model to the real-time forecasting test
    Working Paper Series, European Central Bank View citations (18)
    See also Journal Article Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test, Journal of Money, Credit and Banking, Blackwell Publishing (2012) View citations (45) (2012)

2008

29. Economic convergence and the fundamental equilibrium exchange rate in Poland
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Economic convergence and the fundamental equilibrium exchange rate in Poland, Bank i Kredyt, Narodowy Bank Polski (2009) View citations (9) (2009)
30. On the empirical evidence of the intertemporal current account model for the euro area countries
    Working Paper Series, European Central Bank View citations (15)
    See also Journal Article On the Empirical Evidence of the Intertemporal Current Account Model for the Euro Area Countries, Review of Development Economics, Wiley Blackwell (2012) View citations (17) (2012)

2007

31. Can a simple DSGE model outperform Professional Forecasters?
    Working Papers, Department of Applied Econometrics, Warsaw School of Economics View citations (1)
    Also in NBP Working Papers, Narodowy Bank Polski (2007) View citations (1)

2005

32. ECMOD Model of the Polish Economy
    NBP Working Papers, Narodowy Bank Polski View citations (11)
33. Fundamental equilibrium exchange rate for the Polish zloty
    NBP Working Papers, Narodowy Bank Polski View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (1)

2004

34. Development of the trade links between Poland and the European Union in the years 1992–2002
    NBP Working Papers, Narodowy Bank Polski View citations (1)

2002

35. Modeling Fundamentals for Forecasting Portfolio Inflows to Poland
    NBP Working Papers, Narodowy Bank Polski

Journal Articles

2025

1. Modelling oil consumption in Baumeister and Hamilton’s (2019) model of the global oil market
   Economics Letters, 2025, 248, (C)
2. Rental market structure and housing dynamics: An interacted panel VAR investigation
   International Journal of Finance & Economics, 2025, 30, (1), 781-802
3. The European energy crisis and the US natural gas market dynamics: a structural VAR investigation
   International Economics and Economic Policy, 2025, 22, (1), 1-22
   See also Working Paper The European energy crisis and the US natural gas market dynamics. A structural VAR investigation, KAE Working Papers (2024) (2024)

2024

4. Are consensus FX forecasts valuable for investors?
   International Journal of Forecasting, 2024, 40, (1), 268-284 View citations (1)
5. Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (3), 507-530 View citations (3)
   See also Working Paper Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis, KAE Working Papers (2022) View citations (3) (2022)
6. The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
   Energy Economics, 2024, 137, (C)
   See also Working Paper The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets, KAE Working Papers (2023) (2023)

2023

7. How immune is the connectedness of European natural gas markets to exceptional shocks?
   Resources Policy, 2023, 85, (PA) View citations (5)
8. How many fundamentals should we include in the behavioral equilibrium exchange rate model?
   Economic Modelling, 2023, 118, (C) View citations (2)

2022

9. Are European natural gas markets connected? A time-varying spillovers analysis
   Resources Policy, 2022, 79, (C) View citations (7)
10. Common factors and the dynamics of cereal prices. A forecasting perspective
    Journal of Commodity Markets, 2022, 28, (C) View citations (1)
    See also Working Paper Common factors and the dynamics of cereal prices. A forecasting perspective, CAMA Working Papers (2020) View citations (1) (2020)
11. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
    See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)
12. The Reliability of Equilibrium Exchange Rate Models: A Forecasting Perspective
    International Journal of Central Banking, 2022, 18, (3), 229-280
13. The role of economic development for the effect of oil market shocks on oil-exporting countries. Evidence from the interacted panel VAR model
    Energy Economics, 2022, 110, (C) View citations (10)

2021

14. A note on the heterogenous economic effects of COVID-19 on GDP via the sectoral structure
    Bank i Kredyt, 2021, 52, (3), 253-266 View citations (2)
15. Common factors and the dynamics of industrial metal prices. A forecasting perspective
    Resources Policy, 2021, 74, (C) View citations (7)
16. Do flexible working hours amplify or stabilize unemployment fluctuations?
    European Economic Review, 2021, 131, (C) View citations (7)
17. Forecasting Commodity Prices: Looking for a Benchmark
    Forecasting, 2021, 3, (2), 1-13 View citations (5)
18. Forecasting crude oil prices with DSGE models
    International Journal of Forecasting, 2021, 37, (2), 531-546 View citations (8)
    See also Working Paper Forecasting crude oil prices with DSGE models, GRU Working Paper Series (2019) (2019)
19. Foreign and Domestic Uncertainty Shocks in Four Open Economies
    Open Economies Review, 2021, 32, (5), 933-954 View citations (1)
20. Housing Tenure Preferences among Students from Two Polish Universities
    Real Estate Management and Valuation, 2021, 29, (2), 71-83 View citations (1)
21. The dynamics and elasticities on the U.S. natural gas market. A Bayesian Structural VAR analysis
    Energy Economics, 2021, 103, (C) View citations (10)
22. The predictive power of equilibrium exchange rate models
    Economic Bulletin Articles, 2021, 7 View citations (1)
    See also Working Paper The predictive power of equilibrium exchange rate models, Working Paper Series (2020) View citations (13) (2020)
23. The role of oil price uncertainty shocks on oil-exporting countries
    Energy Economics, 2021, 93, (C) View citations (23)

2020

24. Does the rental housing market stabilize the economy? A micro and macro perspective
    Empirical Economics, 2020, 59, (1), 233-257 View citations (10)
    See also Working Paper Does rental housing market stabilize the economy? A micro and macro perspective, Discussion Papers (2017) View citations (1) (2017)
25. Economic policy uncertainty shocks, economic activity, and exchange rate adjustments
    Economics Letters, 2020, 186, (C) View citations (37)
26. Exchange rate forecasting on a napkin
    Journal of International Money and Finance, 2020, 104, (C) View citations (20)
    See also Working Paper Exchange rate forecasting on a napkin, GRU Working Paper Series (2018) (2018)
27. Forecasting the Yield Curve for Poland
    Econometric Research in Finance, 2020, 5, (2), 103-117 View citations (1)
28. Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective
    Resources Policy, 2020, 65, (C) View citations (11)
29. The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (5), 20 View citations (6)
30. The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis
    Energy Economics, 2020, 87, (C) View citations (12)

2019

31. Private rental housing market underdevelopment: life cycle model simulations for Poland
    Baltic Journal of Economics, 2019, 19, (2), 334-358 View citations (3)

2018

32. Does the foreign sector help forecast domestic variables in DSGE models?
    International Journal of Forecasting, 2018, 34, (4), 809-821 View citations (7)
    See also Working Paper Does the foreign sector help forecast domestic variables in DSGE models?, NBP Working Papers (2018) View citations (7) (2018)
33. The Size of the Rental Market and Housing Market Fluctuations
    Open Economies Review, 2018, 29, (2), 261-281 View citations (12)

2017

34. Exchange rate forecasting with DSGE models
    Journal of International Economics, 2017, 107, (C), 127-146 View citations (34)
    See also Working Paper Exchange rate forecasting with DSGE models, NBP Working Papers (2017) View citations (34) (2017)
35. Preferencje Polaków dotyczące struktury własnościowej mieszkań: opis wyników ankiety
    Bank i Kredyt, 2017, 48, (2), 197-234 View citations (4)
36. What Determines the Current Account: Intratemporal versus Intertemporal Factors
    Czech Journal of Economics and Finance (Finance a uver), 2017, 67, (1), 2-14 View citations (7)

2016

37. Forecasting the Yield Curve With Macroeconomic Variables
    Econometric Research in Finance, 2016, 1, (1), 1-21 View citations (4)
38. Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses
    Open Economies Review, 2016, 27, (3), 585-609 View citations (20)
    See also Working Paper Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk, Working Paper Series (2013) (2013)
    Working Paper Real exchange rate forecasting and ppp: this time the random walk loses, Globalization Institute Working Papers (2015) View citations (1) (2015)
39. The effect of ageing on the European economies in a life-cycle model
    Economic Modelling, 2016, 52, (PA), 50-57 View citations (5)
40. The potential effects of labour market duality for countries in a monetary union
    International Labour Review, 2016, 155, (4), 509-534 View citations (1)

2015

41. Bayesian forecasting of real exchange rates with a Dornbusch prior
    Economic Modelling, 2015, 46, (C), 53-60 View citations (7)
42. Forecasting using DSGE models with financial frictions
    International Journal of Forecasting, 2015, 31, (1), 1-19 View citations (29)
    See also Working Paper Forecasting with DSGE models with financial frictions, Dynare Working Papers (2014) View citations (18) (2014)
43. How Frequently Should We Reestimate DSGE Models?
    International Journal of Central Banking, 2015, 11, (4), 279-305 View citations (9)
    See also Working Paper How frequently should we re-estimate DSGE models?, NBP Working Papers (2014) (2014)

2014

44. Determinants of credit to households: An approach using the life-cycle model
    Economic Systems, 2014, 38, (4), 572-587 View citations (14)

2013

45. MONETARY POLICY IN A NON-REPRESENTATIVE AGENT ECONOMY: A SURVEY
    Journal of Economic Surveys, 2013, 27, (4), 641-669 View citations (6)
    See also Working Paper Monetary policy in a non-representative agent economy: A survey, NBP Working Papers (2011) View citations (1) (2011)

2012

46. A Bayesian method of combining judgmental and model-based density forecasts
    Economic Modelling, 2012, 29, (4), 1349-1355 View citations (6)
47. Mortgage down-payment and welfare in a life-cycle model
    Bank i Kredyt, 2012, 43, (4), 5-28 View citations (10)
48. On the Empirical Evidence of the Intertemporal Current Account Model for the Euro Area Countries
    Review of Development Economics, 2012, 16, (1), 95-106 View citations (17)
    See also Working Paper On the empirical evidence of the intertemporal current account model for the euro area countries, Working Paper Series (2008) View citations (15) (2008)
49. Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test
    Journal of Money, Credit and Banking, 2012, 44, (7), 1301-1324 View citations (45)
    Also in Journal of Money, Credit and Banking, 2012, 44, (7), 1301-1324 (2012) View citations (12)
    See also Working Paper Putting the New Keynesian DSGE model to the real-time forecasting test, Working Paper Series (2009) View citations (18) (2009)
50. THE ROLE OF TWO INTEREST RATES IN THE INTERTEMPORAL CURRENT ACCOUNT MODEL
    Macroeconomic Dynamics, 2012, 16, (S2), 176-189 View citations (2)

2010

51. Firms in the great global recession: The role of foreign ownership and financial dependence
    Emerging Markets Review, 2010, 11, (4), 341-357 View citations (38)
    See also Working Paper Firms in the great global recession: The role of foreign ownership and financial dependence, NBP Working Papers (2010) View citations (42) (2010)
52. Forecasting the Polish Zloty with Non-Linear Models
    Central European Journal of Economic Modelling and Econometrics, 2010, 2, (2), 151-167 View citations (1)
    See also Working Paper Forecasting the Polish zloty with non-linear models, NBP Working Papers (2011) View citations (1) (2011)

2009

53. Economic convergence and the fundamental equilibrium exchange rate in Poland
    Bank i Kredyt, 2009, 40, (1), 7-22 View citations (9)
    See also Working Paper Economic convergence and the fundamental equilibrium exchange rate in Poland, MPRA Paper (2008) View citations (2) (2008)
54. Economic convergence and the fundamental equilibrium exchange rate in central and eastern Europe
    International Review of Financial Analysis, 2009, 18, (5), 277-284 View citations (11)

2008

55. On the forecasting performance of a small-scale DSGE model
    International Journal of Forecasting, 2008, 24, (3), 498-512 View citations (62)

2004

56. A Model of Balance of Payments Equilibrium Exchange Rate
    Eastern European Economics, 2004, 42, (3), 5-22 View citations (12)

Chapters

2016

1. EU structural policies and euro adoption in CEE countries
   Chapter 9 in Boosting European Competitiveness, 2016, pp 97-110

2011

2. The role of the exchange rate in monetary policy in Poland
   A chapter in Capital flows, commodity price movements and foreign exchange intervention, 2011, vol. 57, pp 285-295 View citations (4)