Contact information
University of Bologna Phone: +39 0541434253
Department of Economics
Piazza Scaravilli 2, I-40126 Bologna, Italy email: luca.fanelli@unibo.it
Campus of Rimini, University of Bologna
Complesso Alberti 2.6
Via Carlo Cattaneo, I-47921 Rimini, Italy
Researcher unique identifiers: ORCID 0000-0001-5351-2876 – Scopus ID 26645338000
REpEC Profile: http://ideas.repec.org/e/pfa33.html
Web sites: https://www.unibo.it/sitoweb/luca.fanelli/en
https://sites.google.com/site/lucafanelliunibo/home
Personal information
Born July 22, 1970 (Teramo); married, one son (born 2009).
Citizenship: Italian
Education
PhD in Statistical Sciences, dissertation in Econometrics, University of Bologna, 1998.
B.S. in Statistics and Economics, University of Bologna, 1993.
Main research interests
Macroeconometrics (structural shocks identification in Vector Autoregressive models, identification through heteroscedasticity and through external instruments, identification and misspecification issues in DSGE models, determinacy and indeterminacy in Linear Rational Expectations models, the econometrics of Linear Rational Expectation models);
Time Series Econometrics (inference in non-stationary models, speed of adjustment and half-life in dynamic systems);
Empirical Macroeconomics (uncertainty shocks, impact and efficacy of monetary and fiscal policy, inflation dynamics in the NKPC, empirical evaluation of small-scale DSGE models, regional and international risk sharing, exchange rate international parities).
Current and previous positions
2018– present: Professor of Econometrics, Department of Economics, U-Bologna
2014 –2018: Professor of Econometrics, Department of Statistical Sciences, U-Bologna
2010–2013: Associate Professor of Econometrics, Department of Statistical Sciences, U-Bologna
2001–2009: Assistant Professor of Econometrics, Department of Statistical Sciences, U-Bologna.
Fellowships and visiting positions
Visiting Associate Professor, Norvegian University of Science and Technology, February 2013;
RCEA Fellow, 2016-2017;
Research Fellowship, U-Bologna, 1998-2000;
PhD visiting, University of Arhus, Autumn 1996.
Teaching and PhD supervisions
Teacher of several academic courses (undergraduate, graduate, PhD) since 2001: “Structural Macroeconometrics”, “Applied Econometrics”, “Financial Econometrics”, “Topics in Advanced Econometrics”, etc.
Supervised more than 100 Master students in Econometrics and Financial Econometrics since 2001;
PhD in Economics and Finance (U. St. Gallen), 2022, co-supervisor of Jeannine Polivska.
PhD in Economics (U-Bologna), supervised and co-supervised:
Antonio Marsi. Finalist of the ECB Young Economists’ competition 2020. Now Research Fellow, U-Bologna;
Vanessa Gunnella. Now economist at the ECB.
Phd in Statistical Sciences (U-Bologna), supervised:
Giovanni Angelini, 2016. Now Associate Professor of Econometrics, U-Bologna;
Silvia Emili, 2018. Now Junior Assistant Professor of Economics and Statistics, U-Bologna;
Franco Mazzoni, 2014. Now Energy forecast specialist, Consorzio per le Risorse Energetiche S.C.p.A.
Opponent/Member Commettee of the PhD defense of the following scholars:
Niels Framoze Moller (U-Copenhagen), 2009. Now research economist at the Danmarks Nationalbank;
Tord Krogh (U-Oslo), 2014. Now senior adviser at Norges Bank;
Gabriela Nodari (U-Padova), 2015. Now senior economist at the Reserve Bank of Australia;
Paolo Bonomolo (U-Pavia), 2016. Now research economist at The Nederlansche Bank;
Jakko Nelimarka (U-Helsinki), 2018 (pre-evaluation). Now economist in the Monetary Policy and Research Department of the Bank of Finland;
Francesco Simone Lucidi (U. La Sapienza, Roma), 2019. Now Research Fellow at U. La Sapienza, Roma;
Savi Virolainen (U-Helsinki), 2022, December 2022.
Institutional roles
2022–: President elect Società Italiana di Econometria (SIdE), period 2024-2025;
2021- present Director of Organisational Unit Campus Rimini, Department of Economics, U-Bologna;
2021-: Member of the Rimini Campus Council, U-Bologna;
2021-: Member of School of Economics and Management Council, U-Bologna;
2019– 2021: Faculty Committee Recruitment, Department of Economics, U-Bologna;
2018– 2022: Member Faculty Committee, PhD in Economics, U-Bologna;
2014 –2018: Member Faculty Committee, PhD in Statistics, U-Bologna;
2012 – 2017: Director of the Second Cycle Degree in Statistics, Financial and Actuarial Sciences, U-Bol;
2015 – 2018: Member of the Council of the School in Economics, Management and Statistics, U-Bol.
Affiliations
2022–: President elect Società Italiana di Econometria (SIdE), period 2024-2025;
2009– : Società Italiana di Econometria (SIdE);
2014– : International Association of Applied Econometrics (IAAE);
1998– : Econometric Society (ES);
2017– : American Economic Association (AEA);
2002– : European Economic Association (EEA);
2007– 2016: Società Italiana degli Economisti (SIE);
2017–2018: Royal Economic Association (REA).
Hiring/Promotion committees
2016 –2018: Member of the Committee in charge for the National Scientific Qualification – Abilitazione Scientifica Nazionale (ASN) - in Econometrics (13/A5-SECS-P/05).
Assistant professor: University of Lecce (RTD-B, 2022), University of Catania (RTD-B, 2022), University of Venice (RTD-A, 2022), University of Bologna (RTD-A-PON, 2022), University of Pavia (RTD-B, 2022), University of Torino (RTD-B, 2021), University of Lecce (RTD-A, 2020), University La Sapienza, Roma (RTD-A, 2019), University of Ancona (RTD-A, 2015), University of Verona (2006), University Roma, Tor Vergata (2005);
Associate professor: University of Venezia (2020), University of Genova (2018), University of Lecce (2008);
Full professor: University of L’Aquila (2019), University of Venezia (2019), University of Varese (2017).
Contributions to the Italian Econometric Association (SIdE-IEA) and former CIDE
President elect Società Italiana di Econometria (SIdE), period 2024-2025;
Member of SIdE since 2009;
Member of the SIdE Steering Committee, 2014-2018;
Supervisor of the Carlo Giannini Research Fellow in Econometrics, 2022-2024 (Luca Neri);
SIdE Webinar series presentation, March 2021;
Member of the recruitment commettee of the 2020 Carlo Giannini Research Fellow in Econometrics;
Organizer of the 3rd Italian Workshop of Econometrics and Empirical Economics (IWEEE 2022), Rimini, 20-21 January 2022;
Organizer of the 2nd ICEEE 2007 Conference, Rimini, 25-26 January 2007;
Program Committee Member (PCM) of the 10th Italian Congress of Econometrics and Empirical Economics (ICEEE 2021), Cagliari, May 2023;
PCM of the 9th ICEEE 2021 Conference, Cagliari, January 2021;
PCM of the 2nd IWEEE 2020, Venezia 23-24, January 2019;
PCM of the 8th ICEEE 2019 Conference, Lecce 24-26, January 2019;
PCM of the 7th ICEEE 2017 Conference, Messina 25-26 January 2017;
PCM of the 6th ICEEE 2015 Conference, Salerno 21-23 January 2015;
PCM of the 2nd ICEEE 2007, Conference, Rimini Campus, 25-26 January 2007;
Discussant of PhD student papers at the Workshop for PhD students in Econometrics and Empirical Economics (WEEE), Bertinoro 2022;
Discussant of PhD student papers at the the WEEE Bertinoro, 2020;
Discussant of PhD student papers at the WEEE Bertinoro, 2013;
Teacher of several PhD CIDE courses of Time Series Economettrics since 2003.
Overall citations, awards and recognitions (January 2023)
Google Scholar: h-index 16; i10-index 20;
Scopus: h-index 8;
CitEc: h-index 10; i10-index 10.
RePEC: top 12%, top 8% in Italy, top 9% European Union, top 10% Europe
Research Gate (RG), Research Interest Score 218.6 (higher than 77% of Research Gate members.)
Journal of Applied Econometrics Distinguished Author, 2020;
Abilitazione Scientifica Nazionale (ASN)
National Scientific Qualification – Abilitazione Scientifica Nazionale (ASN) in Political Economy, 13/A2-SECS-P/02 (achieved in 2014).
Main workshop and conference organizing and conference participation
Co-organizer of the 3rd SIdE Italian Workshop of Econometrics and Empirical Economics (IWEEE 2022), Rimini, 20-21 January 2022;
Co-organizer of the EC^2 2018 Conference: “Big Data Econometrics with Applications”, Rome, December 2018
Co-organzier of the 2nd SIdE International Conference of Econometrics and Empirical Economics (ICEEE), 2007, Rimini, 25-26 January 2007.
Program Committee Member of the SIdE Conferences listed in the section above;
IAAE Annual Conference [http://iaae2019.org/] s: 2022 (London), 2021 (Rotterdam/online), 2019 (Nicosia), 2018 (Montréal), 2016 (Milano-Bicocca), 2015 (Tessaloniki);
ICEEE Conferences: 2019 (Lecce), 2017 (Messina), 2015 (Salerno), 2013 (Genova), 2011 (Pisa), 2009 (Ancona), 2007 (Rimini), 2005 (Venice);
EC^2 Conferences: 2019 (Oxford, “Identification in Macroeconomics”);
CFE Conferences; 2022 (London), 2018 (Pisa), 2017 (London), 2016 (Seville), 2015 (London), 2014 (Pisa), 2013 (London), 2011 (London);
Econometric Society Conferences: 2021 (Esem, Copenhagen/online), 2020 (World Congress, online), 2016 (Esem, Geneva), 2014 (Esem, Touluse), 2012 (Esem, Malaga), 2009 (Esem, Barcelona), 2008 (Esem, Milano-Bocconi), 2007 (Esem. Budapest), 2006 (Esem, Vienna), 2003 (Esem, Stockholm), 2001 (Esem, Lausanne), 1999 (Esem, Santiago de Compostela), 1998 (Esem, Berlin).
Carlo Giannini Conferences: 2012 (Bank of Italy), 2014 (U-Pavia).
2nd Tinbergen Institute Conference, 2007: 20 Years of Cointegration: Theory and Practice in Prospect and Retrospect.
Invited research seminars (2010-)
2022: Granger centre, U-Nottingham;
2021: SIdE Webinar series March 2021;
2020: Durham University; Heriott-Watt University;
2015: Bank of Italy;
2014: ISPRA, Varese;
2011: EIEF Rome & U-TorVergata;
2010: U-Maastricht.
Editorial duties
Referee for: Quantitative Economics, Review of Economics and Statistics, Journal of Econometrics, Econometric Theory, Journal of Monetary Economics, Journal of Applied Econometrics, Journal of Economic Dynamics and Control, Oxford Bulletin of Economics and Statistics, Macroeconomic Dynamics, International Journal of Central Banking, Empirical Economics, Journal of Macroeconomics, Journal of Economic Surveys, Econometrics & Statistics, Journal of Banking and Finance, Journal of Economic Behavior and Organization, Journal of the Royal Statistical Society, Series-A, Computational Statistics & Data Analysis, Economic Modelling, Economic Inquiry, Economic Letters, Journal of Statistical Planning and Inference, Journal of Statistical Planning and Inference, Canadian Journal of Statistics, Rivista Italiana degli Economisti, Statistical Methods & Applications, Economics Bulletin, Statistica, Journal of African Business, Psychological Methods.
Referred publications
1.Fanelli, L. (with Giovanni Angelini and Giuseppe Cavaliere), 2024 An identification and testing strategy for Proxy-SVARs with weak proxies, JOURNAL OF ECONOMETRICS, forthcoming
2.Fanelli, L. (with G. Angelini, G. Caggiano, E. Castelnuovo), 2023, Are fiscal multipliers estimated with proxy-SVAR robust? OXFORD BULLETIN OF ECONOMICS AND STATISTICS 85, 95-122.
3. Fanelli, L. (with A. Marsi), 2022 Sovereign spreads and unconventional monetary policy in the Euro Area: A tale of three shocks, EUROPEAN ECONOMIC REVIEW, Vol. 150
4. Fanelli, L. (with G. Angelini and G. Cavaliere), 2022, Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models [https://cris.unibo.it/handle/11585/836471], JOURNAL OF APPLIED ECONOMETRICS 37, 3-22.
5. Fanelli, L. (with G. Angelini), 2019, Exogenous uncertainty and the identification of structural vector autoregressions with external instruments, JOURNAL OF APPLIED ECONOMETRICS 34(6) 951-971.
6. Fanelli, L. (with G. Angelini, E. Bacchiocchi, and G. Caggiano), 2019, Uncertainty across volatility regimes, JOURNAL OF APPLIED ECONOMETRICS 34(3), 437-455.
7. Fanelli, L. (with E. Bacchiocchi and E. Castelnuovo), 2018, Gimme a Break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the United States [https://cris.unibo.it/handle/11585/787891], MACROECONOMIC DYNAMICS 22, 1613-1651.
8. Fanelli, L. (with G. Cavaliere and L. De Angelis), 2018, Co-integration rank determination in partial systems using information criteria [https://cris.unibo.it/handle/11585/601120], OXFORD BULLETIN OF ECONOMICS AND STATISTICS 80, 65 – 89.
9. Fanelli, L. (with M. Sorge), 2017, Indeterminate forecast accuracy under indeterminacy [https://cris.unibo.it/handle/11585/596244], JOURNAL OF MACROECONOMICS 53, 57-70.
10. Fanelli, L. (with G. Angelini), 2017, Misspecification and expectations correction in New Keynesian DSGE models [https://cris.unibo.it/handle/11585/562089], OXFORD BULLETIN OF ECONOMICS AND STATISTICS 78, 623 – 649.
11. Fanelli, L. (with E. Castelnuovo), 2015, Monetary policy indeterminacy and identification failure in the U.S.: results from a robust test, JOURNAL OF APPLIED ECONOMETRICS 30, 857-1010.
12. Fanelli, L. (with E. Bacchiocchi), 2015, Identification in Structural Vector Autoregressive models with structural changes, with an application to U.S. monetary policy [https://cris.unibo.it/handle/11585/518216], OXFORD BULLETIN OF ECONOMICS AND STATISTICS 77, pp. 761 - 779
13. Fanelli, L. (with G. Bardsen), 2015, Frequentist evaluation of small DSGE models, JOURNAL OF BUSINESS AND ECONOMIC STATISTICS 33, 3017-322.
14. Fanelli, L. 2012, Determinacy, indeterminacy and dynamic misspecification in Linear Rational Expectations models, JOURNAL OF ECONOMETRICS 170, 153-163.
15. Fanelli, L. (with G. Palomba), 2011, Simulation-based tests of forward-looking models under VAR learning dynamics JOURNAL OF APPLIED ECONOMETRICS 26, 762-782.
16. Fanelli, L. (with P. Paruolo), 2010, Speed of adjustment in cointegrated systems, JOURNAL OF ECONOMETRICS 158, 130-141.
17. Fanelli, L. (with G. Cavaliere and P. Paruolo), Test for cointegration rank and choice of the alternative, STATISTICAL METHODS AND APPLICATIONS 18, 169-191.
18. Fanelli, L. (with G. Cavaliere and A. Gardini), 2009, Consumption risk sharing and adjustment costs [https://cris.unibo.it/handle/11585/76079], ECONOMICS BULLETIN 29(2), 1128-1137.
19. Fanelli, L. (with G. Cavaliere and A. Gardini), 2008, International dynamic risk sharing, JOURNAL OF APPLIED ECONOMETRICS 23, 1-16.
20. Fanelli, L., 2008, Evaluation of the New Keynesian Phillips Curve under VAR-based learning, ECONOMICS 2, 2-25.
21. Fanelli, L., 2007, Present value relations, Granger noncausality and VAR stability, ECONOMETRIC THEORY 23(6), 1254-1260.
22. Fanelli, L. 2006, Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL 30, 445-456.
23. Fanelli, L. 2006, Dynamic adjustment cost models with forward-looking behaviour, ECONOMETRICS JOURNAL 9, 23-47.
24. Fanelli, L. (with E. Bacchiocchi), 2005, Testing the purchasing power parity through I(2) cointegration techniques, JOURNAL OF APPLIED ECONOMETRICS 20, 749-770.
25. Fanelli, L. (with G. Cavaliere and A.Gardini), 2005, Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia [https://cris.unibo.it/handle/11585/6485], RIVISTA DI POLITICA ECONOMICA, maggio-giugno, 3-50.
26. Fanelli, L. (with G. Cavaliere and A. Gardini), 2005, Regional consumption dynamics and risk sharing in Italy, INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 15, 525-542.
27. Fanelli, L. (with P. Paruolo), New evidence on the transmission mechanisms of monetary policy in Italy before stage III of European Monetary Union; in (ed.s) Convegno Banca d’Italia – CIDE, RICERCHE QUANTITATIVE PER LA POLITICA ECONOMICA 603-653, Roma: Banca d’Italia, Perugia 15-18 dicembre 1999.
28. Fanelli L. (with M. Mazzocchi), 2002, A cointegrated VECM demand system for meat in Italy [https://cris.unibo.it/handle/11585/884478], APPLIED ECONOMICS 34, 1593-1605.
29. Fanelli, L., 2002, 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 26, 117-139.
Books
Econometria 2000, Vol. 1 and Vol. 2 (joint with G.Cavaliere, M.Costa, A.Gardini, P.Paruolo). Franco Angeli
Papers under review
- 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, SUBMITTED
Working Papers in progress
- Invalid proxies and volatility changes (joint with G. Angelini and L. Neri)
- A test of relevance and exogeneity in proxy-SVARs;
Funded and submitted projects in the last years
Italian Ministry of University: National PRIN project 2022: "Uncertainty and tail risks", Bologna research Unit, Local Responsible, grant amount 285000,00 euro
Italian Ministry of University: National PRIN project: “Hi-Di NET: Econometric Analysis of High Dimensional Models with Network Structures in Macroeconomics and Finance”, 2017-2020, Bologna research unit, grant amount 1,96027,00 euro;
Italian Ministry of Education, University and Research: National PRIN project “Multivariate Statistical Models for Risk Management”, 2013-2015, Bologna research unit, grant amount 112 000,00 euro;
Italian Ministry of Education, University and Research: National PRIN project “Time-varying volatility, persistence and structural breaks in macroeconomic and financial fluctuations: new paradigms for the econometric analysis of time series”, 2009-2010, Bologna research unit, grant amount 14 000 euro
