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Prof. Michał Rubaszek
Head of Financial Markets Modelling Unit, SGH Warsaw School of Economics, al. Niepodległości 162, 02-554 Warsaw, Poland

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0 commodity prices
0 Exchange Rates
0 Bayesian econometrics
0 Time series econometrics
0 DSGE models

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Journal article
Published: 19 June 2021 in Forecasting
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The random walk, no-change forecast is a customary benchmark in the literature on forecasting commodity prices. We challenge this custom by examining whether alternative models are more suited for this purpose. Based on a literature review and the results of two out-of-sample forecasting experiments, we draw two conclusions. First, in forecasting nominal commodity prices at shorter horizons, the random walk benchmark should be supplemented by futures-based forecasts. Second, in forecasting real commodity prices, the random walk benchmark should be supplemented, if not substituted, by forecasts from the local projection models. In both cases, the alternative benchmarks deliver forecasts of comparable and, in many cases, of superior accuracy.

ACS Style

Marek Kwas; Michał Rubaszek. Forecasting Commodity Prices: Looking for a Benchmark. Forecasting 2021, 3, 447 -459.

AMA Style

Marek Kwas, Michał Rubaszek. Forecasting Commodity Prices: Looking for a Benchmark. Forecasting. 2021; 3 (2):447-459.

Chicago/Turabian Style

Marek Kwas; Michał Rubaszek. 2021. "Forecasting Commodity Prices: Looking for a Benchmark." Forecasting 3, no. 2: 447-459.

Journal article
Published: 27 November 2020 in Energy Economics
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This paper examines the effect of oil price uncertainty on industrial production and the exchange rates in four oil exporting countries, Canada, Mexico, Norway and Russia. Within the block-exogenous Bayesian SVAR framework we find that the oil price uncertainty shocks result in a persistent drop of industrial production, which is heterogeneous in its depth across the analysed countries. The exchange rate depreciates instantly in reaction to the oil price uncertainty shock, but this reaction is long-lasting only in the case of developing countries, Mexico and Russia. We show that oil price uncertainty shocks is an important driver of industrial production fluctuations in all oil exporting countries, whereas the contribution of these shocks to exchange rate fluctuations varies from country to country and is greatest in Mexico and the lowest for Norway.

ACS Style

Sławomir Śmiech; Monika Papież; Michał Rubaszek; Małgorzata Snarska. The role of oil price uncertainty shocks on oil-exporting countries. Energy Economics 2020, 93, 105028 .

AMA Style

Sławomir Śmiech, Monika Papież, Michał Rubaszek, Małgorzata Snarska. The role of oil price uncertainty shocks on oil-exporting countries. Energy Economics. 2020; 93 ():105028.

Chicago/Turabian Style

Sławomir Śmiech; Monika Papież; Michał Rubaszek; Małgorzata Snarska. 2020. "The role of oil price uncertainty shocks on oil-exporting countries." Energy Economics 93, no. : 105028.

Journal article
Published: 10 November 2020 in European Economic Review
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In this paper we challenge the conventional view that increasing working time flexibility limits the amplitude of unemployment fluctuations. We start by showing that hours per worker in European countries are much less procyclical than in the US, and even co-move negatively with output in selected economies. This is confirmed by the results from a structural VAR model for the euro area, in which hours per worker increase after a contractionary monetary shock, exacerbating the upward pressure on unemployment. To understand these counterintuitive results, we develop a structural search and matching macroeconomic model with endogenous job separations that resemble layoffs. We show that this feature is key to generating a countercyclical response of hours per worker. When we augment the model with frictions in working hours adjustment and estimate it using euro area time series, we find that increasing flexibility of working time amplifies cyclical movements in unemployment.

ACS Style

Marcin Kolasa; Michał Rubaszek; Małgorzata Walerych. Do flexible working hours amplify or stabilize unemployment fluctuations? European Economic Review 2020, 131, 103605 .

AMA Style

Marcin Kolasa, Michał Rubaszek, Małgorzata Walerych. Do flexible working hours amplify or stabilize unemployment fluctuations? European Economic Review. 2020; 131 ():103605.

Chicago/Turabian Style

Marcin Kolasa; Michał Rubaszek; Małgorzata Walerych. 2020. "Do flexible working hours amplify or stabilize unemployment fluctuations?" European Economic Review 131, no. : 103605.

Journal article
Published: 22 August 2020 in International Journal of Forecasting
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In this study, we conducted an oil prices forecasting competition among a set of structural models, including vector autoregression and dynamic stochastic general equilibrium (DSGE) models. Our results highlight two principles. First, forecasts should exploit the fact that real oil prices are mean reverting over long horizons. Second, models should not replicate the high volatility of the oil prices observed in samples. By following these principles, we show that an oil sector DSGE model performs much better at real oil price forecasting than random walk or vector autoregression.

ACS Style

Michał Rubaszek. Forecasting crude oil prices with DSGE models. International Journal of Forecasting 2020, 37, 531 -546.

AMA Style

Michał Rubaszek. Forecasting crude oil prices with DSGE models. International Journal of Forecasting. 2020; 37 (2):531-546.

Chicago/Turabian Style

Michał Rubaszek. 2020. "Forecasting crude oil prices with DSGE models." International Journal of Forecasting 37, no. 2: 531-546.

Journal article
Published: 19 February 2020 in Journal of International Money and Finance
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This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features of the data can be exploited, even on the back of a napkin, to generate nominal exchange rate forecasts that outperform the random walk. The secret is to avoid estimating the pace of mean reversion and assume that relative prices are unchanged. Direct forecasting, panel data techniques and non-linear models can outperform the random walk, but fail to beat this simple calibrated model.

ACS Style

Michele Ca’ Zorzi; Micha L Rubaszek. Exchange rate forecasting on a napkin. Journal of International Money and Finance 2020, 104, 102168 .

AMA Style

Michele Ca’ Zorzi, Micha L Rubaszek. Exchange rate forecasting on a napkin. Journal of International Money and Finance. 2020; 104 ():102168.

Chicago/Turabian Style

Michele Ca’ Zorzi; Micha L Rubaszek. 2020. "Exchange rate forecasting on a napkin." Journal of International Money and Finance 104, no. : 102168.

Journal article
Published: 18 November 2019 in Resources Policy
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We analyse the dynamics of real prices for main non-ferrous industrial metals: aluminium, copper, nickel and zinc. The estimates based on monthly data from 1980 to 2019 show that the prices are mean reverting and the pace of mean reversion is regime dependent. The results of the out-of-sample forecasting competition provide ample evidence that mean-reverting models deliver significantly better forecasts than the naive random walk. However, allowing for non-linearity by introducing threshold structure does not lead to further improvement in the quality of forecasts.

ACS Style

Michał Rubaszek; Zuzanna Karolak; Marek Kwas. Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective. Resources Policy 2019, 65, 101538 .

AMA Style

Michał Rubaszek, Zuzanna Karolak, Marek Kwas. Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective. Resources Policy. 2019; 65 ():101538.

Chicago/Turabian Style

Michał Rubaszek; Zuzanna Karolak; Marek Kwas. 2019. "Mean-reversion, non-linearities and the dynamics of industrial metal prices. A forecasting perspective." Resources Policy 65, no. : 101538.

Research articles
Published: 03 July 2019 in Baltic Journal of Economics
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The share of the private rental housing market in Central and Eastern European countries is low. With a survey data from Poland, I show that strong tenure preferences of households toward owning can be attributed to both economic and psychological factors. Building on these findings, I develop a life cycle model and I conduct counterfactual simulations to evaluate how changes in the structure of the rental market affect its size. I show that in the alternative scenario, which assumes (i) a change in the quality of rental services, (ii) lowering rental prices and (iii) diminishing fiscal incentives to own, the size of the private rental market is significantly higher, which leads to welfare gains for poor households.

ACS Style

Michał Rubaszek. Private rental housing market underdevelopment: life cycle model simulations for Poland. Baltic Journal of Economics 2019, 19, 334 -358.

AMA Style

Michał Rubaszek. Private rental housing market underdevelopment: life cycle model simulations for Poland. Baltic Journal of Economics. 2019; 19 (2):334-358.

Chicago/Turabian Style

Michał Rubaszek. 2019. "Private rental housing market underdevelopment: life cycle model simulations for Poland." Baltic Journal of Economics 19, no. 2: 334-358.

Article
Published: 12 February 2019 in Empirical Economics
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The size of the rental housing market in most countries around the globe is small. In this article, we claim that this may be detrimental to macroeconomic stability. We do it in three steps. First, using survey data for Poland, a country with a high homeownership ratio, we discuss microeconomic housing tenure choice determinants. Second, with a panel of 28 EU countries over the period 2004–2017, we provide evidence that the response of house prices to macroeconomic fundamentals is attenuated by the size of the private rental market. Third, we propose a DSGE model in which households satisfy housing needs both by owning and by renting. By simulating the model, we show that reforms enhancing the rental housing market contribute to macroeconomic stability. We conclude by formulating policy recommendations.

ACS Style

Michal Rubaszek; Margarita Rubio. Does the rental housing market stabilize the economy? A micro and macro perspective. Empirical Economics 2019, 59, 233 -257.

AMA Style

Michal Rubaszek, Margarita Rubio. Does the rental housing market stabilize the economy? A micro and macro perspective. Empirical Economics. 2019; 59 (1):233-257.

Chicago/Turabian Style

Michal Rubaszek; Margarita Rubio. 2019. "Does the rental housing market stabilize the economy? A micro and macro perspective." Empirical Economics 59, no. 1: 233-257.

Journal article
Published: 22 August 2018 in International Journal of Forecasting
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This paper evaluates the forecasting performances of several small open-economy DSGE models relative to a closed-economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening the model economy usually does not improve the quality of point and density forecasts for key domestic variables, and can even cause it to deteriorate. We show that this result can be attributed largely to an increase in the forecast error due to the more sophisticated structure of the extended setup, which is not compensated for by a better model specification. This claim is based on a Monte Carlo experiment in which an open-economy model fails to beat its closed-economy benchmark consistently even if the former is the true data generating process.

ACS Style

Marcin Kolasa; Michał Rubaszek. Does the foreign sector help forecast domestic variables in DSGE models? International Journal of Forecasting 2018, 34, 809 -821.

AMA Style

Marcin Kolasa, Michał Rubaszek. Does the foreign sector help forecast domestic variables in DSGE models? International Journal of Forecasting. 2018; 34 (4):809-821.

Chicago/Turabian Style

Marcin Kolasa; Michał Rubaszek. 2018. "Does the foreign sector help forecast domestic variables in DSGE models?" International Journal of Forecasting 34, no. 4: 809-821.

Research article
Published: 18 April 2018 in Open Economies Review
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The paper investigates whether the size of the rental market affects house prices fluctuations or the volatility of construction sector activity over the business cycle. For that purpose we construct a database of variables describing the housing sector in a group of twelve initial euro area members and ten other OECD countries over the years 1995–2014 and conduct a series of panel regressions. We find that a developed rental market attenuates fluctuations in the housing sector, especially for the common currency area sample. We claim that differences among monetary union countries in terms of rental market developments can be destabilizing as they might lead to heterogeneous response to common shocks.

ACS Style

Adam Czerniak; Michał Rubaszek. The Size of the Rental Market and Housing Market Fluctuations. Open Economies Review 2018, 29, 261 -281.

AMA Style

Adam Czerniak, Michał Rubaszek. The Size of the Rental Market and Housing Market Fluctuations. Open Economies Review. 2018; 29 (2):261-281.

Chicago/Turabian Style

Adam Czerniak; Michał Rubaszek. 2018. "The Size of the Rental Market and Housing Market Fluctuations." Open Economies Review 29, no. 2: 261-281.

Journal article
Published: 01 July 2017 in Journal of International Economics
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ACS Style

Michele Ca’ Zorzi; Marcin Kolasa; Michał Rubaszek. Exchange rate forecasting with DSGE models. Journal of International Economics 2017, 107, 127 -146.

AMA Style

Michele Ca’ Zorzi, Marcin Kolasa, Michał Rubaszek. Exchange rate forecasting with DSGE models. Journal of International Economics. 2017; 107 ():127-146.

Chicago/Turabian Style

Michele Ca’ Zorzi; Marcin Kolasa; Michał Rubaszek. 2017. "Exchange rate forecasting with DSGE models." Journal of International Economics 107, no. : 127-146.

Preprint
Published: 01 January 2017
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We run an exchange rate forecasting “horse race”, which highlights that three principles hold. First, forecasts should not replicate the high volatility of exchange rates observed in sample. Second, models should exploit the mean reversion of the real exchange rate over long horizons. Third, they should account for the international price co-movement seen in the data. Abiding by the first two principles an open-economy dynamic stochastic general equilibrium (DSGE) model performs well in forecasting the real but not the nominal exchange rate. Only approaches that conform to all three principles tend to outperform the random walk.

ACS Style

Marcin Kolasa; Michał Rubaszek; Michele Ca' Zorzi. Exchange rate forecasting with DSGE models. 2017, 1 .

AMA Style

Marcin Kolasa, Michał Rubaszek, Michele Ca' Zorzi. Exchange rate forecasting with DSGE models. . 2017; ():1.

Chicago/Turabian Style

Marcin Kolasa; Michał Rubaszek; Michele Ca' Zorzi. 2017. "Exchange rate forecasting with DSGE models." , no. : 1.

Journal article
Published: 01 December 2016 in Revista Internacional del Trabajo
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Se investiga si la incidencia del empleo temporal en países de la Unión Económica y Monetaria europea explica las divergencias en las dinámicas del desempleo. Con datos de 11 países de la zona del euro para 1995–2013 y regresiones de panel, los autores encuentran un efecto robusto y significativo de la dualidad laboral –coexistencia de contratos temporales y permanentes– en el desempleo: la primera intensifica la reacción del segundo a las fluctuaciones del producto, aunque disminuye su duración, lo cual genera más problemas de divergencia en una unión monetaria. Una armonización coordinada mediante la introducción del ≪contrato único≫ aumentaría la estabilidad tanto nacional como de la eurozona.

ACS Style

Anna Kosior; Michał Rubaszek; Kamil Wierus. Efectos potenciales de la dualidad del mercado laboral en los países de una unión monetaria. Revista Internacional del Trabajo 2016, 135, 551 -577.

AMA Style

Anna Kosior, Michał Rubaszek, Kamil Wierus. Efectos potenciales de la dualidad del mercado laboral en los países de una unión monetaria. Revista Internacional del Trabajo. 2016; 135 (4):551-577.

Chicago/Turabian Style

Anna Kosior; Michał Rubaszek; Kamil Wierus. 2016. "Efectos potenciales de la dualidad del mercado laboral en los países de una unión monetaria." Revista Internacional del Trabajo 135, no. 4: 551-577.

Journal article
Published: 01 December 2016 in Revue internationale du Travail
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RésuméLes auteurs examinent l'influence de l'emploi temporaire sur le chômage au sein de l'Union économique et monétaire (UEM). Ils effectuent pour cela une analyse par régression dynamique en panel qui porte sur onze pays (1995–2013) et repose sur des indicateurs des institutions du marché du travail. Celle-ci fait apparaître un effet robuste et significatif du travail temporaire sur la dynamique du chômage, qui réagit de façon plus intense mais moins persistante aux chocs sur la production en cas de dualisme prononcé. Les auteurs proposent d'évoluer vers un système de contrat unique pour renforcer la stabilité à l'échelon des pays et de la zone euro.

ACS Style

Anna Kosior; Michał Rubaszek; Kamil Wierus. Effets potentiels du dualisme du marché du travail au sein d'une union monétaire. Revue internationale du Travail 2016, 155, 561 -588.

AMA Style

Anna Kosior, Michał Rubaszek, Kamil Wierus. Effets potentiels du dualisme du marché du travail au sein d'une union monétaire. Revue internationale du Travail. 2016; 155 (4):561-588.

Chicago/Turabian Style

Anna Kosior; Michał Rubaszek; Kamil Wierus. 2016. "Effets potentiels du dualisme du marché du travail au sein d'une union monétaire." Revue internationale du Travail 155, no. 4: 561-588.

Journal article
Published: 01 December 2016 in International Labour Review
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The paper investigates whether differences in the popularity of fixed-term contracts on the labour market can be a source of divergent dynamics of unemployment among European Monetary Union economies. For that purpose we construct a database of labor market institutions for a group of eleven euro area countries and years 1995–2013 to conduct a series of dynamic panel regressions. We find a robust and significant impact of duality on unemployment dynamics: high duality rate amplifies its responsiveness to output shocks and lowers its persistence. The heterogeneous unemployment developments, in turn, are a challenge for the conduct of common monetary policy. We conclude that improved stability at both the euro area and country level may be obtained by a coordinated shift to ‘single-contract’ that closes the disproportion between temporary and regular contracts.

ACS Style

Anna Kosior; Michał RUBASZEK; Kamil Wierus. The potential effects of labour market duality for countries in a monetary union. International Labour Review 2016, 155, 509 -534.

AMA Style

Anna Kosior, Michał RUBASZEK, Kamil Wierus. The potential effects of labour market duality for countries in a monetary union. International Labour Review. 2016; 155 (4):509-534.

Chicago/Turabian Style

Anna Kosior; Michał RUBASZEK; Kamil Wierus. 2016. "The potential effects of labour market duality for countries in a monetary union." International Labour Review 155, no. 4: 509-534.

Journal article
Published: 10 May 2016 in Econometric Research in Finance
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This paper compares the accuracy of interest rates forecasts from dynamic, affine yield curve models, also those that take into account the correlation of latent factors and macroeconomic variables. The empirical results suggest that the affine models are better in explaining future movements in interest rates than the benchmark, arbitrage-free model. Moreover, we show that interest rates forecasts conditional on the realization of inflation and the unemployment rate are more accurate than unconditional forecasts.

ACS Style

Michał Rubaszek. Forecasting the Yield Curve With Macroeconomic Variables. Econometric Research in Finance 2016, 1, 1 -21.

AMA Style

Michał Rubaszek. Forecasting the Yield Curve With Macroeconomic Variables. Econometric Research in Finance. 2016; 1 (1):1-21.

Chicago/Turabian Style

Michał Rubaszek. 2016. "Forecasting the Yield Curve With Macroeconomic Variables." Econometric Research in Finance 1, no. 1: 1-21.

Journal article
Published: 04 January 2016 in Open Economies Review
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This paper brings four new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP (HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long-term horizons. Second, we find that this result holds if the speed of adjustment to the sample mean is calibrated at reasonable values rather than estimated. Third, we find that it is preferable to calibrate, rather than to elicit as a prior, the parameter determining the speed of adjustment to PPP. Fourth, for most currencies in our sample, the HL model outperforms the RW also in terms of nominal exchange rate forecasting.

ACS Style

Michele Ca’ Zorzi; Jakub Muck; Michal Rubaszek. Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses. Open Economies Review 2016, 27, 585 -609.

AMA Style

Michele Ca’ Zorzi, Jakub Muck, Michal Rubaszek. Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses. Open Economies Review. 2016; 27 (3):585-609.

Chicago/Turabian Style

Michele Ca’ Zorzi; Jakub Muck; Michal Rubaszek. 2016. "Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses." Open Economies Review 27, no. 3: 585-609.

Journal article
Published: 01 January 2016 in Economic Modelling
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ACS Style

Aleksandra Kolasa; Michał Rubaszek. The effect of ageing on the European economies in a life-cycle model. Economic Modelling 2016, 52, 50 -57.

AMA Style

Aleksandra Kolasa, Michał Rubaszek. The effect of ageing on the European economies in a life-cycle model. Economic Modelling. 2016; 52 ():50-57.

Chicago/Turabian Style

Aleksandra Kolasa; Michał Rubaszek. 2016. "The effect of ageing on the European economies in a life-cycle model." Economic Modelling 52, no. : 50-57.

Preprint
Published: 01 January 2016
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Estimated dynamic stochastic general equilibrium (DSGE) models are now used around the world for policy analysis. They have become particularly popular in central banks, some of which successfully applied them to generate macroeconomic forecasts. Arguably, one of the key drivers behind this trend was growing evidence that DSGE model-based forecasts can be competitive with those obtained with flexible time series models such as vector autoregressions (VAR), and also with expert judgement.See e.g. Smets and Wouters (2007), Edge et al. (2010), Kolasa et al. (2012) and Del Negro and Schorfheide (2012). The vast majority of these studies focus on the US economy as it allows to evaluate the forecast quality over a relatively large number of periods, and also makes the convenient closed economy assumption acceptable. The open economy applications that use the New Open Macroeconomics (NOEM) framework originating from Obstfeld and Rogoff (1995) and extended by Devereux and Engel (2003) and Gali and Monacelli (2005) do exist, but usually base their conclusions on a rather short evaluation sample. The earliest contribution to this literature is Bergin (2003) who tests small open economy DSGE models for Australia, Canada and the United Kingdom, and Bergin (2006) where a two-country model for the US and G7 is considered. However, only in-sample forecasts are evaluated in these papers. The literature testing open economy DSGE model-base forecasts out of sample include: Adolfson et al. (2007) and Christoffel et al. (2010) for the euro area, Adolfson et al. (2008) for Sweden, Matheson (2010) for Australia, Canada and New Zealand, Gupta et al. (2010) and Alpanda et al. (2011) for South Africa, Marcellino et al. (2014) for Luxemburg within the euro area. Following the literature working with closed economy models, the common practice is to evaluate forecasts generated with a NOEM framework relative to those obtained with some variants of Bayesian VARs. The overall finding is that ope

ACS Style

Marcin Kolasa; Michal Rubaszek. Does foreign sector help forecast domestic variables in DSGE models? 2016, 1 .

AMA Style

Marcin Kolasa, Michal Rubaszek. Does foreign sector help forecast domestic variables in DSGE models? . 2016; ():1.

Chicago/Turabian Style

Marcin Kolasa; Michal Rubaszek. 2016. "Does foreign sector help forecast domestic variables in DSGE models?" , no. : 1.

Preprint
Published: 01 January 2016
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This paper evaluates the forecasting performance of several small open economy DSGE models relative to a closed economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening the economy does not improve, and even deteriorates the quality of point and density forecasts for key domestic variables. We show that this result can be to a large extent attributed to an increase in forecast error due to a more sophisticated structure of the extended setup. This claim is based on a Monte Carlo experiment, in which an open economy model fails to consistently beat its closed economy benchmark even if it is the true data generating process.

ACS Style

Marcin Kolasa; Michal Rubaszek. Does foreign sector help forecast domestic variables in DSGE models? 2016, 1 .

AMA Style

Marcin Kolasa, Michal Rubaszek. Does foreign sector help forecast domestic variables in DSGE models? . 2016; ():1.

Chicago/Turabian Style

Marcin Kolasa; Michal Rubaszek. 2016. "Does foreign sector help forecast domestic variables in DSGE models?" , no. : 1.