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

Here is my  CV  (pdf format), January 2024

RePec profile

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

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

Recently published papers

• 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

• Invalid proxies and volatility changes (joint with Giovanni Angelini and Luca Neri) arXiv: 2403.08753, https://arxiv.org/abs/2403.08753

•  Is time an illusion? A bootstrap Likelihood Ratio approach to testing shock transmission delays in DSGE models (joint with Giovanni Angelini and Marco Sorge), CSEF Working Paper no. 653, here

In progress

• A test for relevance and exogeneity in Structural Vector Autoregressions with external instruments

• Local fiscal multipliers in a data-scarse environment: the effectiveness of fiscal spending for Italian regions (joint with Giuseppe Cavaliere and Marco Mazzali)

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