Details about Luca Fanelli
Access statistics for papers by Luca Fanelli.
Last updated 2019-08-07. Update your information in the RePEc Author Service.
Short-id: pfa33
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Working Papers
2019
- Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments
MPRA Paper, University Library of Munich, Germany 
2018
- Identification and estimation issues in Structural Vector Autoregressions with external instruments
Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
2017
- Uncertainty Across Volatility Regimes
CESifo Working Paper Series, CESifo Group Munich View citations (4)
Also in Research Discussion Papers, Bank of Finland (2017) View citations (1)
See also Journal Article in Journal of Applied Econometrics (2019)
2016
- Bootstrapping DSGE models
Quaderni di Dipartimento, Department of Statistics, University of Bologna
- Co-integration rank determination in partial systems using information criteria
Quaderni di Dipartimento, Department of Statistics, University of Bologna
- 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 (1)
Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014) View citations (1)
2015
- Government fiscal efforts vs. labour union strikes. Strategic substitutes or complements?
Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
- Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?
CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy
- 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 in Oxford Bulletin of Economics and Statistics (2016)
2014
- Government Fiscal Efforts vs. Labour Union Strikes: It Takes Two to Tango
Working Paper series, Rimini Centre for Economic Analysis
- Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (7)
Also in "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2013) View citations (2)
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" (2014)
See also Journal Article in Journal of Applied Econometrics (2015)
2013
- Frequentist evaluation of small DSGE models
Working Paper Series, Department of Economics, Norwegian University of Science and Technology
See also Journal Article in Journal of Business & Economic Statistics (2015)
2011
- Monetary policy indeterminacy in the U.S.: results from a classical test
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)
- Robust identification conditions for determinate and indeterminate linear rational expectations models
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (2)
2010
- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Quaderni di Dipartimento, Department of Statistics, University of Bologna
See also Journal Article in Journal of Econometrics (2012)
2009
- Estimation of quasi-rational DSGE monetary models
Quaderni di Dipartimento, Department of Statistics, University of Bologna
2008
- Evaluating the New Keynesian Phillips Curve under VAR-Based Learning
Economics Discussion Papers, Kiel Institute for the World Economy (IfW) View citations (6)
Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1)
See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)
- Rational Addiction, Cointegration and Tobacco and Alcohol Demand
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (1)
2007
- 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 (3)
See also Journal Article in Journal of Applied Econometrics (2011)
- Speed of Adjustment in Cointegrated Systems
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of Econometrics (2010)
- Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area
MPRA Paper, University Library of Munich, Germany View citations (9)
Also in Quaderni di Dipartimento, Department of Statistics, University of Bologna (2006) View citations (1)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
2006
- Consumption risk sharing and adjustment costs
MPRA Paper, University Library of Munich, Germany
See also Journal Article in Economics Bulletin (2009)
- Exchange rates, prices and their speed of adjustment
Economics and Quantitative Methods, Department of Economics, University of Insubria
- International dynamic risk sharing
Quaderni di Dipartimento, Department of Statistics, University of Bologna
See also Journal Article in Journal of Applied Econometrics (2008)
- Present value relations, Granger non-causality and VAR stability
MPRA Paper, University Library of Munich, Germany
See also Journal Article in Econometric Theory (2007)
- 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 in Rivista di Politica Economica (2005)
2004
- Back to the future? Habits and rational addiction in UK tobacco and alcohol demand
Quaderni di Dipartimento, Department of Statistics, University of Bologna
2002
- 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
- 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
- Determining the number of cointegrating relations under rank constraints
Economics and Quantitative Methods, Department of Economics, University of Insubria View citations (1)
Journal Articles
2019
- Uncertainty across volatility regimes
Journal of Applied Econometrics, 2019, 34, (3), 437-455 View citations (1)
See also Working Paper (2017)
2018
- Co†integration Rank Determination in Partial Systems Using Information Criteria
Oxford Bulletin of Economics and Statistics, 2018, 80, (1), 65-89
- GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES
Macroeconomic Dynamics, 2018, 22, (06), 1613-1651
2017
- Indeterminate forecast accuracy under indeterminacy
Journal of Macroeconomics, 2017, 53, (C), 57-70 View citations (1)
2016
- Misspecification and Expectations Correction in New Keynesian DSGE Models
Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 623-649 View citations (1)
See also Working Paper (2015)
2015
- Frequentist Evaluation of Small DSGE Models
Journal of Business & Economic Statistics, 2015, 33, (3), 307-322 View citations (2)
See also Working Paper (2013)
- 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 (19)
- 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 (11)
See also Working Paper (2014)
2012
- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Journal of Econometrics, 2012, 170, (1), 153-163 View citations (11)
See also Working Paper (2010)
2011
- Simulation‐based tests of forward‐looking models under VAR learning dynamics
Journal of Applied Econometrics, 2011, 26, (5), 762-782 View citations (6)
See also Working Paper (2007)
2010
- Speed of adjustment in cointegrated systems
Journal of Econometrics, 2010, 158, (1), 130-141 View citations (14)
See also Working Paper (2007)
2009
- Consumption risk sharing and adjustment costs
Economics Bulletin, 2009, 29, (2), 1117-1126 View citations (1)
See also Working Paper (2006)
- Tests for cointegration rank and choice of the alternative
Statistical Methods & Applications, 2009, 18, (2), 169-191
2008
- Evaluating New Keynesian Phillips Curve under VAR-Based Learning
Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, 1-24 View citations (5)
See also Working Paper (2008)
- International dynamic risk sharing
Journal of Applied Econometrics, 2008, 23, (1), 1-16 View citations (5)
See also Working Paper (2006)
- 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 (28)
See also Working Paper (2007)
2007
- PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY
Econometric Theory, 2007, 23, (06), 1254-1260 View citations (1)
See also Working Paper (2006)
2006
- Dynamic adjustment cost models with forward-looking behaviour
Econometrics Journal, 2006, 9, (1), 23-47 View citations (9)
- 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)
- Regional consumption dynamics and risk sharing in Italy
International Review of Economics & Finance, 2006, 15, (4), 525-542 View citations (7)
2005
- Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia
Rivista di Politica Economica, 2005, 95, (3), 219-266 View citations (2)
See also Working Paper (2006)
- Testing the purchasing power parity through I(2) cointegration techniques
Journal of Applied Econometrics, 2005, 20, (6), 749-770 View citations (17)
2002
- A cointegrated VECM demand system for meat in Italy
Applied Economics, 2002, 34, (13), 1593-1605 View citations (12)
- 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)
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