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Details about Luca Fanelli

E-mail:
Homepage:https://www.unibo.it/sitoweb/luca.fanelli/en
Phone:+39 0541 434253 or +
Postal address:Dipartimento di Scienze Economiche, Universita' di Bologna, Piazza Scaravilli, 2, I-40126 Bologna, Italy
Workplace:Dipartimento di Scienze Economiche (Department of Economics), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Luca Fanelli.

Last updated 2024-03-16. Update your information in the RePEc Author Service.

Short-id: pfa33


Jump to Journal Articles

Working Papers

2024

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

2023

  1. An identification and testing strategy for proxy-SVARs with weak proxies
    Papers, arXiv.org Downloads
    See also Journal Article An identification and testing strategy for proxy-SVARs with weak proxies, Journal of Econometrics, Elsevier (2024) Downloads View citations (4) (2024)

2022

  1. 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 Downloads

2021

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

2019

  1. Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments
    MPRA Paper, University Library of Munich, Germany Downloads View citations (46)
    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) Downloads View citations (43) (2019)

2018

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

2017

  1. Uncertainty Across Volatility Regimes
    CESifo Working Paper Series, CESifo Downloads View citations (19)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2017) Downloads View citations (1)

    See also Journal Article Uncertainty across volatility regimes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads View citations (61) (2019)

2016

  1. Bootstrapping DSGE models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (1)
  2. Co-integration rank determination in partial systems using information criteria
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (1)
  3. 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 Downloads View citations (3)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014) Downloads View citations (1)

2015

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

2014

  1. Government Fiscal Efforts vs. Labour Union Strikes: It Takes Two to Tango
    Working Paper series, Rimini Centre for Economic Analysis Downloads
  2. 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" Downloads View citations (1)
    Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2013) Downloads View citations (2)
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2014) Downloads View citations (7)

    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) Downloads View citations (20) (2015)

2013

  1. Frequentist evaluation of small DSGE models
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology Downloads
    See also Journal Article Frequentist Evaluation of Small DSGE Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) Downloads View citations (4) (2015)

2012

  1. 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 Downloads View citations (13)

2011

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

2010

  1. Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (2)
    See also Journal Article Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, Journal of Econometrics, Elsevier (2012) Downloads View citations (20) (2012)

2009

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

2008

  1. Evaluating the New Keynesian Phillips Curve under VAR-Based Learning
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads 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) Downloads View citations (7) (2008)
  2. Rational Addiction, Cointegration and Tobacco and Alcohol Demand
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (1)

2007

  1. Simulation-Based Tests of Forward-Looking Models Under VAR Learning Dynamics
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali Downloads 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)
  2. Speed of Adjustment in Cointegrated Systems
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Speed of adjustment in cointegrated systems, Journal of Econometrics, Elsevier (2010) Downloads View citations (19) (2010)
  3. Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    Also in Quaderni di Dipartimento, Department of Statistics, University of Bologna (2006) Downloads 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) Downloads View citations (38) (2008)

2006

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

2004

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

2002

  1. 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
  2. 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 Downloads View citations (1)

2001

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

Journal Articles

2024

  1. An identification and testing strategy for proxy-SVARs with weak proxies
    Journal of Econometrics, 2024, 238, (2) Downloads View citations (4)
    See also Working Paper An identification and testing strategy for proxy-SVARs with weak proxies, Papers (2023) Downloads (2023)

2023

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

2022

  1. Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models
    Journal of Applied Econometrics, 2022, 37, (1), 3-22 Downloads View citations (1)
  2. Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks
    European Economic Review, 2022, 150, (C) Downloads View citations (6)

2019

  1. Exogenous uncertainty and the identification of structural vector autoregressions with external instruments
    Journal of Applied Econometrics, 2019, 34, (6), 951-971 Downloads View citations (43)
    See also Working Paper Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments, MPRA Paper (2019) Downloads View citations (46) (2019)
  2. Uncertainty across volatility regimes
    Journal of Applied Econometrics, 2019, 34, (3), 437-455 Downloads View citations (61)
    See also Working Paper Uncertainty Across Volatility Regimes, CESifo Working Paper Series (2017) Downloads View citations (19) (2017)

2018

  1. Co†integration Rank Determination in Partial Systems Using Information Criteria
    Oxford Bulletin of Economics and Statistics, 2018, 80, (1), 65-89 Downloads View citations (3)
  2. 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 Downloads View citations (5)

2017

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

2016

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

2015

  1. Frequentist Evaluation of Small DSGE Models
    Journal of Business & Economic Statistics, 2015, 33, (3), 307-322 Downloads View citations (4)
    See also Working Paper Frequentist evaluation of small DSGE models, Working Paper Series (2013) Downloads (2013)
  2. 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 Downloads View citations (53)
  3. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test
    Journal of Applied Econometrics, 2015, 30, (6), 924-947 Downloads View citations (20)
    See also Working Paper Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test, "Marco Fanno" Working Papers (2014) Downloads View citations (1) (2014)

2012

  1. Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
    Journal of Econometrics, 2012, 170, (1), 153-163 Downloads View citations (20)
    See also Working Paper Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, Quaderni di Dipartimento (2010) Downloads View citations (2) (2010)

2011

  1. 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) Downloads View citations (8) (2007)

2010

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

2009

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

2008

  1. Evaluating New Keynesian Phillips Curve under VAR-Based Learning
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2008, 2, 1-24 Downloads View citations (7)
    See also Working Paper Evaluating the New Keynesian Phillips Curve under VAR-Based Learning, Economics Discussion Papers (2008) Downloads View citations (7) (2008)
  2. International dynamic risk sharing
    Journal of Applied Econometrics, 2008, 23, (1), 1-16 Downloads View citations (9)
    See also Working Paper International dynamic risk sharing, Quaderni di Dipartimento (2006) Downloads View citations (1) (2006)
  3. 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 Downloads 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) Downloads View citations (10) (2007)

2007

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

2006

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

2005

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

2002

  1. A cointegrated VECM demand system for meat in Italy
    Applied Economics, 2002, 34, (13), 1593-1605 Downloads View citations (13)
  2. 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 Downloads View citations (8)
 
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