Tomasz is an econometrician researching new methods for empirical macroeconomic analysis. He works on statistical and mathematical models to describe economic reality and to measure the effects of government decisions on the real economy.

His research covers Bayesian, dynamic, structural, non-linear, and system modelling. He also develops reliable methods for estimation, forecasting, and testing economic hypotheses. One strand of this work uses Bayesian structural vector autoregressions identified through time-varying volatility. These models help assess the effects of monetary and fiscal policy and macro-financial interactions. He has also worked on testing Granger-causality hypotheses in non-linear settings. This work offers insights into exchange rate markets and macro-monetary interactions.

He is a Senior Lecturer in the Department of Economics at the University of Melbourne, a co-founder of the Bayesian Analysis and Modelling Research Group, and a co-organiser of the annual Melbourne Bayesian Econometrics Workshop and the BAM Summer Workshop. He co-organised the European Seminar on Bayesian Econometrics in Melbourne in 2025.

Tomasz has an extensive teaching portfolio, including developing and lecturing graduate-level subjects, supervising honours, master’s, and doctoral students, and tutoring programming and project management. He is currently lecturing Quantitative Methods 1. He has also developed original materials for the subjects he previously taught, including Macroeconometrics, Quantitative Analysis of Finance 1 and 2, and Financial Econometrics.

He developed a new suite of forecasting models for the International Labour Organization focusing on forecasting labour markets globally using country-level time series data and implemented in the R package bpvars.

He is an author of R packages: bsvars, bsvarSIGNs, bpvars, bvars, and StealLikeBayes. The packages implement frontier econometric and numerical methods that are coded using C++. More info at bsvars.org.

Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility with Helmut Lütkepohl, Fei Shang, and Luis Uzeda, published in the Journal of Econometrics in 2026
[ paper | working paper | code ]

Markov Switching with Yong Song, published in the Oxford Research Encyclopedia of Economics and Finance in 2021
[ paper | working paper ]

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity with Helmut Lütkepohl, published in the Journal of Economic Dynamics and Control in 2020
[ paper | working paper | code ]

Granger-Causal Analysis of GARCH Models: a Bayesian Approach published in Econometric Reviews in 2018
[ paper | working paper | code ]

Granger Causality and Regime Inference in Markov-switching VAR Models with Bayesian Methods with Matthieu Droumaguet and Anders Warne, published in the Journal of Applied Econometrics in 2017
[ paper | ECB working paper | code ]

Bayesian Vector Autoregressions published in the Australian Economic Review in 2016
[ paper ]

Testing Causality Between Two Vectors in Multivariate GARCH Models published in the International Journal of Forecasting in 2015
[ paper | working paper | code ]

See my working papers at arxiv.org

Granger-Causal Analysis of Conditional Mean and Volatility Models defended at the European University Institute on 18 December 2012

More details at bsvars.org

bsvars: Bayesian Estimation of Structural Vector Autoregressive Models
bsvarSIGNs: Bayesian Estimation of Structural Vector Autoregressive Models Identified by Sign and Narrative Restrictions
bpvars: Forecasting with Bayesian Panel Vector Autoregressions developed for UN's International Labour Organization
bvars: Bayesian Forecasting with Large Vector Autoregressions
StealLikeBayes: A Compendium of Bayesian Statistical Routines Written in C++

Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity
Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R
Bayesian Estimation and Inference for the ECCC-GARCH Model in R

I am a member of panel of finder.com.au cash rate survey and I publish my forecasts at forecasting-cash-rate.github.io

Predictive Analyses using R packages bsvars & bsvarSIGNs a recording of my seminar for Forecasting for Social Good
Structural and Predictive Macro Analyses using the R Package bsvars a recording of my seminar for the Workshops for Ukraine
Getting Started with C++ for Faster Forecasting in R a workshop given for WOMBAT 2026 Getting Started with C++ for Faster Statistical Modelling in R a workshop given for WOMBAT 2025 Rewriting R code in C++ a guest lecture for Advanced R Programming
Simulation Smoother using RcppArmadillo published in the Rcpp Gallery

Teaching and Learning (Time Series) Econometrics

Will Labor's election-year budget lead them to reelection? SBS Polish Radio broadcasted on 31 March 2025
Labor's election year budget SBS Polish Radio broadcasted on 20 May 2024
Tomasz on University of Melbourne's Proposal to Raid Our Super a comment for the NTEU published on 11 July 2023
Melbourne Uni's 'bizarre' 6pc pay rise proposal a comment at The Australian Financial Review published on 22 June 2023
Should Labour get rid of the negative gearing? SBS Polish Radio broadcasted on 28 May 2023
What's good in Labor's budget? SBS Polish Radio broadcasted on 21 May 2023
Finder's RBA cash rate survey: October published on 28 October 2022, gets mentioned here, here, here, here, and here
The first budget of Labor government SBS Polish Radio broadcasted on 30 October 2022
Australian economy is relatively fine SBS Polish Radio broadcasted on 10 April 2022
2022 Budget of Australia... Good or bad? SBS Polish Radio broadcasted on 3 April 2022
Budget of lost opportunities? SBS Polish Radio broadcasted on 16 May 2021
Unemployment and real estate market during the coronavirus crisis SBS Polish Radio broadcasted on 30 August 2020
Will the Australian economy survive during pandemic? SBS Polish Radio broadcasted on 7 June 2020
Economic policy during coronavirus pandemic in Australia Australian Institute for Polish Affairs youtube channel published on 8 May 2020