Details about Luca Fanelli

Access statistics for papers by Luca Fanelli.

Last updated 2025-05-15. Update your information in the RePEc Author Service.

Short-id: pfa33

Working Papers

2025

1. Invalid proxies and volatility changes
   Papers, arXiv.org
   Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2024) View citations (1)

2023

2. An identification and testing strategy for proxy-SVARs with weak proxies
   Papers, arXiv.org
   See also Journal Article An identification and testing strategy for proxy-SVARs with weak proxies, Journal of Econometrics, Elsevier (2024) View citations (6) (2024)

2022

3. Is Time an Illusion? A Bootstrap Likelihood Ratio Approach to Testing Shock Transmission Delays in DSGE Models
   CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

2021

4. Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?
   Monash Economics Working Papers, Monash University, Department of Economics
   Also in CESifo Working Paper Series, CESifo (2020) View citations (2)
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2020) View citations (2)
   "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2020) View citations (2)
   Bank of Finland Research Discussion Papers, Bank of Finland (2020)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (2)
   See also Journal Article Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2023) View citations (1) (2023)
5. Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)

2019

6. Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments
   MPRA Paper, University Library of Munich, Germany View citations (51)
   See also Journal Article Exogenous uncertainty and the identification of structural vector autoregressions with external instruments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (48) (2019)

2018

7. Identification and estimation issues in Structural Vector Autoregressions with external instruments
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)

2017

8. Uncertainty Across Volatility Regimes
   CESifo Working Paper Series, CESifo View citations (19)
   Also in Bank of Finland Research Discussion Papers, Bank of Finland (2017) View citations (1)
   See also Journal Article Uncertainty across volatility regimes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (69) (2019)

2016

9. Bootstrapping DSGE models
   Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
10. Co-integration rank determination in partial systems using information criteria
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
11. Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (3)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014) View citations (1)

2015

12. Government fiscal efforts vs. labour union strikes. Strategic substitutes or complements?
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
13. Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy
14. Misspecification and Expectations Correction in New Keynesian DSGE Models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
    See also Journal Article Misspecification and Expectations Correction in New Keynesian DSGE Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2016) View citations (2) (2016)

2014

15. Government Fiscal Efforts vs. Labour Union Strikes: It Takes Two to Tango
    Working Paper series, Rimini Centre for Economic Analysis
16. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" View citations (1)
    Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2014) View citations (7)
    "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2013) View citations (2)
    See also Journal Article Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (22) (2015)

2013

17. Frequentist evaluation of small DSGE models
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology
    See also Journal Article Frequentist Evaluation of Small DSGE Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (5) (2015)

2012

18. Identification in structural vector autoregressive models with structural changes
    Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano View citations (13)

2011

19. Monetary policy indeterminacy in the U.S.: results from a classical test
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)
20. Robust identification conditions for determinate and indeterminate linear rational expectations models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)

2010

21. Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)
    See also Journal Article Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, Journal of Econometrics, Elsevier (2012) View citations (21) (2012)

2009

22. Estimation of quasi-rational DSGE monetary models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

2008

23. Evaluating the New Keynesian Phillips Curve under VAR-Based Learning
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1)
    See also Journal Article Evaluating New Keynesian Phillips Curve under VAR-Based Learning, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2008) View citations (7) (2008)
24. Rational Addiction, Cointegration and Tobacco and Alcohol Demand
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)

2007

25. Simulation-Based Tests of Forward-Looking Models Under VAR Learning Dynamics
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali View citations (8)
    See also Journal Article Simulation‐based tests of forward‐looking models under VAR learning dynamics, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (7) (2011)
26. Speed of Adjustment in Cointegrated Systems
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Speed of adjustment in cointegrated systems, Journal of Econometrics, Elsevier (2010) View citations (19) (2010)
27. Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area
    MPRA Paper, University Library of Munich, Germany View citations (10)
    Also in Quaderni di Dipartimento, Department of Statistics, University of Bologna (2006) View citations (4)
    See also Journal Article Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (38) (2008)

2006

28. Consumption risk sharing and adjustment costs
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Consumption risk sharing and adjustment costs, Economics Bulletin, AccessEcon (2009) View citations (1) (2009)
29. Exchange rates, prices and their speed of adjustment
    Economics and Quantitative Methods, Department of Economics, University of Insubria
30. International dynamic risk sharing
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
    See also Journal Article International dynamic risk sharing, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (9) (2008)
31. Present value relations, Granger non-causality and VAR stability
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY, Econometric Theory, Cambridge University Press (2007) View citations (1) (2007)
32. Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia, Rivista di Politica Economica, SIPI Spa (2005) View citations (3) (2005)

2004

33. Back to the future? Habits and rational addiction in UK tobacco and alcohol demand
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

2002

34. Incentivi o infrastrutture? Un'analisi dell'impatto delle politiche territoriali sull'economie delle regioni meridionali tramite un approccio VAR strutturale
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
35. On the determinants of inflation in Italy: evidence of cost-push effects before the European Monetary Union
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)

2001

36. Determining the number of cointegrating relations under rank constraints
    Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)

Journal Articles

2025

1. Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models
   Computational Economics, 2025, 65, (5), 2477-2503

2024

2. An identification and testing strategy for proxy-SVARs with weak proxies
   Journal of Econometrics, 2024, 238, (2) View citations (6)
   See also Working Paper An identification and testing strategy for proxy-SVARs with weak proxies, Papers (2023) (2023)

2023

3. Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?*
   Oxford Bulletin of Economics and Statistics, 2023, 85, (1), 95-122 View citations (1)
   See also Working Paper Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?, Monash Economics Working Papers (2021) (2021)

2022

4. Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models
   Journal of Applied Econometrics, 2022, 37, (1), 3-22 View citations (2)
5. Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks
   European Economic Review, 2022, 150, (C) View citations (7)

2019

6. Exogenous uncertainty and the identification of structural vector autoregressions with external instruments
   Journal of Applied Econometrics, 2019, 34, (6), 951-971 View citations (48)
   See also Working Paper Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments, MPRA Paper (2019) View citations (51) (2019)
7. Uncertainty across volatility regimes
   Journal of Applied Econometrics, 2019, 34, (3), 437-455 View citations (69)
   See also Working Paper Uncertainty Across Volatility Regimes, CESifo Working Paper Series (2017) View citations (19) (2017)

2018

8. Co†integration Rank Determination in Partial Systems Using Information Criteria
   Oxford Bulletin of Economics and Statistics, 2018, 80, (1), 65-89 View citations (3)
9. GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES
   Macroeconomic Dynamics, 2018, 22, (6), 1613-1651 View citations (5)

2017

10. Indeterminate forecast accuracy under indeterminacy
    Journal of Macroeconomics, 2017, 53, (C), 57-70 View citations (5)

2016

11. Misspecification and Expectations Correction in New Keynesian DSGE Models
    Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 623-649 View citations (2)
    See also Working Paper Misspecification and Expectations Correction in New Keynesian DSGE Models, Quaderni di Dipartimento (2015) View citations (1) (2015)

2015

12. Frequentist Evaluation of Small DSGE Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 307-322 View citations (5)
    See also Working Paper Frequentist evaluation of small DSGE models, Working Paper Series (2013) (2013)
13. Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 761-779 View citations (54)
14. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test
    Journal of Applied Econometrics, 2015, 30, (6), 924-947 View citations (22)
    See also Working Paper Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test, "Marco Fanno" Working Papers (2014) View citations (1) (2014)

2012

15. Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
    Journal of Econometrics, 2012, 170, (1), 153-163 View citations (21)
    See also Working Paper Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, Quaderni di Dipartimento (2010) View citations (2) (2010)

2011

16. Simulation‐based tests of forward‐looking models under VAR learning dynamics
    Journal of Applied Econometrics, 2011, 26, (5), 762-782 View citations (7)
    See also Working Paper Simulation-Based Tests of Forward-Looking Models Under VAR Learning Dynamics, Working Papers (2007) View citations (8) (2007)

2010

17. Speed of adjustment in cointegrated systems
    Journal of Econometrics, 2010, 158, (1), 130-141 View citations (19)
    See also Working Paper Speed of Adjustment in Cointegrated Systems, MPRA Paper (2007) View citations (1) (2007)

2009

18. Consumption risk sharing and adjustment costs
    Economics Bulletin, 2009, 29, (2), 1117-1126 View citations (1)
    See also Working Paper Consumption risk sharing and adjustment costs, MPRA Paper (2006) View citations (1) (2006)
19. Tests for cointegration rank and choice of the alternative
    Statistical Methods & Applications, 2009, 18, (2), 169-191

2008

20. Evaluating New Keynesian Phillips Curve under VAR-Based Learning
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2008, 2, 1-24 View citations (7)
    See also Working Paper Evaluating the New Keynesian Phillips Curve under VAR-Based Learning, Economics Discussion Papers (2008) View citations (7) (2008)
21. International dynamic risk sharing
    Journal of Applied Econometrics, 2008, 23, (1), 1-16 View citations (9)
    See also Working Paper International dynamic risk sharing, Quaderni di Dipartimento (2006) View citations (1) (2006)
22. Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (1), 53-66 View citations (38)
    See also Working Paper Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area, MPRA Paper (2007) View citations (10) (2007)

2007

23. PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY
    Econometric Theory, 2007, 23, (6), 1254-1260 View citations (1)
    See also Working Paper Present value relations, Granger non-causality and VAR stability, MPRA Paper (2006) (2006)

2006

24. Dynamic adjustment cost models with forward-looking behaviour
    Econometrics Journal, 2006, 9, (1), 23-47 View citations (10)
25. Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration
    Journal of Economic Dynamics and Control, 2006, 30, (3), 445-456 View citations (4)
26. Regional consumption dynamics and risk sharing in Italy
    International Review of Economics & Finance, 2006, 15, (4), 525-542 View citations (10)

2005

27. Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
    Rivista di Politica Economica, 2005, 95, (3), 219-266 View citations (3)
    See also Working Paper Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia, Quaderni di Dipartimento (2006) (2006)
28. Testing the purchasing power parity through I(2) cointegration techniques
    Journal of Applied Econometrics, 2005, 20, (6), 749-770 View citations (19)

2002

29. A cointegrated VECM demand system for meat in Italy
    Applied Economics, 2002, 34, (13), 1593-1605 View citations (14)
30. A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
    Journal of Economic Dynamics and Control, 2002, 26, (1), 117-139 View citations (8)