The role of housing rental prices for the dynamics of the economy and the housing sector.
Funding: National Center of Science, OPUS 29 Team: M. Rubaszek, M. Rubio, K. Bech-Wysocka Role: Principal investigator Dates: Jan. 2026 - Jan. 2029 Value: 679 540 PLN
Financial markets spillovers in times of elevated uncertainty
Funding: Financial markets spillovers in times of elevated uncertainty, Sonata 17 Team: K. Szafranek, M. Rubaszek Role: Investigator Dates: Jun. 2022 - Jun. 2025 Value: 240 828 PLN
Natural gas market dynamics in the context of energy transition
Funding: Natural gas market dynamics in the context of energy transition, OPUS 20 Team: M. Rubaszek, M. Papiez, S. Smiech, K. Szafranek Role: Principal investigator Dates: Jun. 2021 - May. 2024 Value: 328 760PLN
Predictive content of equilibrium exchange rate models
Funding: National Center of Science, OPUS 17 Team: M. Rubaszek, M. Kwas, P. Dybka Role: Principal investigator Dates: Jan. 2020 - Dec. 2022 Value: 299 900PLN
Forecasting commodity prices
Funding: National Center of Science, OPUS 13 Team: M. Rubaszek, M. Kwas, A. Paccagnini, Z. Karolak Role: Principal investigator Dates: Jan. 2018 - Dec. 2020 Value: 349200PLN
Housing rental market underdevelopment in Poland
Funding: National Center of Science, OPUS 8 Team: M. Rubaszek, M. Rubio, A. Czerniak Role: Principal investigator Dates: Jan. 2015 - Sept. 2018 Value: 298800PLN
Forecasting with DSGE models
Funding: National Center of Science, Sonata BIS Team: M. Kolasa (PI), M. Rubaszek, G. Koloch Role: Investigator Dates: Jan. 2013 - Dec. 2016 Value: 347250PLN
Details
The role of housing rental prices for the dynamics of the economy and the housing sector.
Research questions:
1. How much rental price shocks contribute to business cycle fluctuations?
2. Do rental prices affect the transmission of other aggregate shocks?
3. Which structural shocks are driving rental price fluctuations?
4. What is the evolution of the rental yield in Poland?
5. Are rental prices important in the context of the Polish economy?
Financial markets spillovers in times of elevated uncertainty
Research questions:
1. What are the spillovers between rates of return from different asset classes?
2. What is the transmission of volatility between financial markets?
3. How does the tail driven interconnectedness across markets develop?
Publications:
1. M. Rubaszek, K. Szafranek, G. Uddin 2025. Intraday volatility connectedness on the forex market: the role of uncertainty.Journal of International Money and Finance 157, 103398 (link).
2. K. Szafranek, M. Rubaszek, G. Uddin, 2024. Which uncertainty measure is most informative? A time-varying connectedness perspective. Econometric Research in Finance 8(1): 1-30
(link)
3. K. Szafranek, M. Rubaszek, G. Uddin, 2023. The role of uncertainty and sentiment for intraday volatility connectedness between oil
and financial markets. under review
Natural gas market dynamics in the context of energy transition
Research questions:
1. What are the main drivers of natural gas prices in the US?
2. How natural gas market shocks in the US affect natural gas prices in Europe?
3. What is the level of integration of European natural gas markets?
4. What is the scale of spillovers among the European regional natural gas markets?
Publications:
1. M. Rubaszek, K. Szafranek, 2025. Natural Gas Market, chapter 87 in Elgar Encyclopedia of Energy Economics,
ed. Angeliki Menegaki (link).
2. M. Rubaszek, K. Szafranek, 2025. Modeling oil consumption in Baumeister and Hamilton's (2019) model of the global oil market ,
Economics Letters 248,112216 (link).
3. M. Rubaszek, K. 2025. The European energy crisis and the US natural gas market dynamics. A structural VAR investigation ,
International Economics and Economic Policy 22, article 11 (link).
Replication files (RepOD link).
4. M Rubaszek, 2024. A note on natural gas price transmission from TTF to other European hubs , Econometric Research in Finance 9(1): 25-48 (download).
Replication files (RepOD link).
5. M. Rubaszek, K. Szafranek, 2024. Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis,
Studies in Nonlinear Dynamics & Econometrics 28(3). 507-530 (link).
Replication files (RepOD link)
6. K. Szafranek, M. Papież, M. Rubaszek,S. ławomir Śmiech, 2023. How immune is the connectedness of European natural gas markets to exceptional shocks?Resources Policy 85 Part A, Article 103917 (link).
Replication files (RepOD link).
7. M. Papież, M. Rubaszek, K. Szafranek, S. Śmiech, 2022. Are European Natural Gas Markets Connected? A Time-Varying Spillovers Analysis,
Resources Policy 79, Article 103029 (link).
Replication files (RepOD link).
8. M. Rubaszek, K. Szafranek, G. Uddin, 2021. The dynamics and elasticities on the U.S. natural gas market. A Bayesian Structural VAR analysis ,
Energy Economics 103, Article 105526 (link).
Replication files (RepOD link).
Predictive content of equilibrium exchange rate models
Research questions:
1. Are EER models able to deliver accurate exchange rate forecasts?
2. Can EER models be used to build successful FX trading strategy?
3. Do EER misalignment lead changes in macroeconomic fundamentals?
Publications:
1. M. Rubaszek, J. Beckmann, M. Ca'~Zorzi, M. Kwas, 2025. Boosting carry with equilibrium exchange rate estimates,
Open Economies Review 36, 1281-1307 (link).
2. P. Dybka, M. Rubaszek, 2024. Does exchange rate misalignments lead changes in macroeconomic fundamentals? Argumenta Oeconomica 52(1), 145-161
(link).
3. M. Kwas, J. Beckmann, M. Rubaszek, 2024 Are consensus FX forecasts valuable for investors?
International Journal of Forecasting 40(1), 268-284. (link)
4. M. Ca' Zorzi, M. Rubaszek, 2023. How many fundamentals should we include in the behavioral equilibrium exchange rate model?
, Economic Modelling 118, Article 106071 (link)
5. A. Cap, M. Ca'Zorzi, A. Mijakovic and M. Rubaszek, 2022. The reliability of equilibrium exchange rate models: A forecasting perspective,
International Journal of Central Banking, 74: 229-280 (link).
ECONBROWSER blog summary (link). ECB Economic Bulletin 2021/7 version:
(link)
6. M. Ca'Zorzi, M. Rubaszek, 2020. Exchange rate forecasting on a napkin, Journal of International Money and Finance 104, Article 102168
(link).
Forecasting commodity prices
Aims:
1. Undertand properties of commodity prices
2. Evaluate what determines commodity prices
3. Evaluate the possibility to forecast commodity prices with futures, time-series, nonlinear, factor and structural models
4. Build a structural describing the functioning commodity markets
Publications:
1. M. Kwas, A. Paccagnini, M. Rubaszek, 2021. Common factors and the dynamics of industrial metal prices. A forecasting perspective,
Resources Policy 74, Article 102319 (link).
2. M. Kwas, M. Rubaszek, 2021. Forecasting commodity prices: Looking for a benchmark, Forecasting, 3: 447-459 (link).
3. M. Rubaszek, 2021. Forecasting crude oil prices with DSGE models, International Journal of Forecasting, 37: 531-546 (link).
4. M. Rubaszek, Z. Karolak, M. Kwas, G. Uddin, 2020. The role of the threshold effect for the dynamics of futures and spot prices of energy commodities, Studies in Nonlinear Dynamics & Econometrics , in Press (link).
5. M. Rubaszek, G. Salah Uddin, 2020. The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis. Energy Economics 87, Article 104713
(link)
6. M. Rubaszek, Z. Karolak, M. Kwas, 2020. Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective , Resources Policy 65, Article 101538
(link)
7. M. Kwas, M. Rubaszek, 2019. A note on the accuracy of commodity prices forecasts based on futures contracts, p. 194-204 in M. Papiez and S. Smiech (Eds.), The 13th Professor Aleksander Zelias International Conference on Modelling and Forecasting of
Socio-Economic Phenomena. Conference Proceedings. C.H. Beck (link)
Housing rental market underdevelopment in Poland
Aims:
1. Undertand why private rental market in Poland is underdeveloped
2. Evaluate the consequences of rental market underdevelopment for macroeconomic stability
3. Propose reforms that would help in developing the rental market
Publications:
1. M. Rubaszek, J. Rubaszek 2021. Housing Tenure Preferences among Students from Two Polish Universities, Real Estate Managment and Valuation , 29(2): 71-83 (link)
2. M. Rubaszek, M. Rubio, 2020. Does rental housing market stabilize the economy? A micro and macro perspective, Empirical Economics 59(1): 233-257(link)
3. M. Rubaszek, 2019. Private rental housing market underdevelopment: life cycle model simulations for Poland , Baltic Journal of Economics 19(2), 334-358 (link)
4. M. Rubaszek, 2018. A note on the private housing rental market in Poland, p. 413-422 in M. Papież and S. Śmiech (Eds.), The 12th Professor Aleksander Zelias International Conference on Modelling and Forecasting of
Socio-Economic Phenomena. Conference Proceedings. Cracow, pp. 413-422 (link)
5. M. Rubaszek and A. Czerniak, 2018. The Size of the Rental Market and Housing Market Fluctuations, Open Economies Review 29(2): 261-281 (link)
6. M. Rubaszek, A. Czerniak, 2017. Preferencje Polaków dotyczące struktury własnościowej
mieszkań: opis wyników ankiety, Bank i Kredyt 48(2): 197-234 (link)
Forecasting with DSGE models
Aims:
1. Evaluate whether extending DSGE models for financial frictions improves forecasts for key macro variables
2. Evaluate whether extending DSGE models for foreign sector improves forecasts for key macro variables
Publications:
1. M. Kolasa, M. Rubaszek, 2015. Forecasting with DSGE models with financial frictions. International Journal of Forecasting 31: 1-19 (link and MatlabCodes).
2. M. Kolasa and M. Rubaszek, 2018. Does foreign sector help forecast domestic variables in DSGE models?, International Journal of Forecasting 34(4): 809-821
(link)
