I am Professor of Econometrics at the Department of Economics, University of Bologna

Research interests: Macroeconometrics, Time Series Econometrics, Applied Macroeconomics

Istitutional web page, University of Bologna: HERE

President of Italian Econometric Association, SIdE-IAE, 2024-2025

Fellow of the International Association of Applied Econometrics (IAAE) 2024-

Here is my CV (pdf format), April 2025

RePec profile

ORCID: orcid.org/0000-0001-5351-2876

Contact me at: luca.fanelli "at" unibo.it

Recently published papers

• Invalid proxies and volatility changes (joint with Giovanni Angelini and Luca Neri) arXiv: 2403.08753, https://arxiv.org/abs/2403.08753 , JOURNAL OF BUSINESS & ECONOMIC STATISTICS, forthcoming

• An identification and testing strategy for Proxy-SVARs with weak proxies (joint with Giovanni Angelini and Giuseppe Cavaliere), JOURNAL OF ECONOMETRICS, 2024 Volume 238 (2), 105604,  link

• Is time an illusion? A bootstrap Likelihood Ratio approach to testing shock transmission delays in DSGE models (joint with Giovanni Angelini and Marco Sorge), COMPUTATIONAL ECONOMICS, forthcoming, Here

• Sovereign spreads and unconventional monetary policy in the Euro Area: A tale of three shocks (with Antonio Marsi), EUROPEAN ECONOMIC REVIEW, 2022, Volume 150: link ;  Working paper version here ; Supplementary Material here 

• Are fiscal multipliers estimated with proxy-SVAR robust? (with Giovanni Angelini, Giovanni Caggiano and Efrem Castelnuovo), OXFORD BULLETIN OF ECONOMICS AND STATISTICS, Volume 85(1), 95-122,  link 

• Bootstrap inference and diagnostic in state space models: with applications to dynamic macro models (with Giovanni Angelini and Giuseppe Cavaliere), JOURNAL OF APPLIED ECONOMETRICS, Volume 37(1), 3-22 , link

Recent working papers

• Bootstrap diagnostic tests (with G. Cavaliere and I. Georgiev) arXiv: 2509.01351, http://arxiv.org/abs/2509.01351  (submitted)

• Enhancing meteorological drought risk management in regional Italy (with G. Cavaliere and E.D'Innocenzo) (submitted)

• Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy (with G. Cavaliere and M. Mazzali) (submitted)

• The size and uncertainty of government spending multipliers in Italian regions (with G. Cavaliere and M. Mazzali) Quaderni - Working Paper DSE N° 1216 - [link] 

In progress:

• Instrument Exogeneity in Structural Vector Autoregressions and Local Projections (with G.Cavaliere and G. Angelini)

• A preliminary draft of my teaching slides , course Structural Macroeconometrics  HERE