Luca Fanelli
Biographic Data
| ID | 6233106 |
|---|---|
| NAME | Luca Fanelli |
| GIVEN NAMES | Luca |
| FAMILY NAME | Fanelli |
| SIGNATURE | FANELLI L |
| AFFILIATIONS | corso Brunelleschi, 167, 10141 Torino, Italy |
| ORCID | 0000-0001-5351-2876 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Invalid Proxies and Volatility Changes
When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the dynamic causal effects. However, if these volatility shifts are properly incorporated into the analysis through (testable) “stability restrictions”, we demonstrate that the target IRFs are point-identified and can…
Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust
We estimate government spending and tax multipliers in the United States via a flexible proxy‐SVAR model, where identification is achieved by combining fiscal and non‐fiscal instruments with additional parametric restrictions. We find that, while the spending multiplier is robustly estimated to be larger than one across different models, the estimate of the tax multiplier is sensitive to the combination of instruments that we use. We unveil that …
Bootstrap inference and diagnostics in state space models
This paper investigates the potentials of the bootstrap as a tool for inference on the parameters of macroeconometric models which admit a state space representation. We consider a bootstrap estimator of the parameters of state space models and show that the bootstrap realizations of this estimator, usually employed to approximate asymptotic confidence intervals, p ‐values, and critical values of tests, can be also constructively used to build a …
Frequentist Evaluation of Small DSGE Models
This article proposes a new evaluation approach for the class of small-scale “hybrid” new Keynesian dynamic stochastic general equilibrium (NK-DSGE) models typically used in monetary policy and business cycle analysis. The empirical assessment of the NK-DSGE model is based on a conditional sequence of likelihood-based tests conducted in a vector autoregressive (VAR) system, in which both the low- and high-frequency implications of the model are a…
The Concept of Sem Terra and the Peasantry in Brazil
This article explores the meanings and uses of the term sem terra (landless) in relation to the social movement MST and tries to provide provisory answers to the following questions: What is the relationship between small landholders, rural workers, and the term sem terra ? Is the idea of sem terra class-based or does it stretch beyond “class”? Which rural populations use the term sem terra to identify themselves? Does sem terra continue to be a …
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The Concept of Sem Terra and the Peasantry in Brazil
This article explores the meanings and uses of the term sem terra (landless) in relation to the social movement MST and tries to provide provisory answers to the following questions: What is the relationship between small landholders, rural workers, and the term sem terra ? Is the idea of sem terra class-based or does it stretch beyond “class”? Which rural populations use the term sem terra to identify themselves? Does sem terra continue to be a …
Frequentist Evaluation of Small DSGE Models
This article proposes a new evaluation approach for the class of small-scale “hybrid” new Keynesian dynamic stochastic general equilibrium (NK-DSGE) models typically used in monetary policy and business cycle analysis. The empirical assessment of the NK-DSGE model is based on a conditional sequence of likelihood-based tests conducted in a vector autoregressive (VAR) system, in which both the low- and high-frequency implications of the model are a…
Bootstrap inference and diagnostics in state space models
This paper investigates the potentials of the bootstrap as a tool for inference on the parameters of macroeconometric models which admit a state space representation. We consider a bootstrap estimator of the parameters of state space models and show that the bootstrap realizations of this estimator, usually employed to approximate asymptotic confidence intervals, p ‐values, and critical values of tests, can be also constructively used to build a …
Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust
We estimate government spending and tax multipliers in the United States via a flexible proxy‐SVAR model, where identification is achieved by combining fiscal and non‐fiscal instruments with additional parametric restrictions. We find that, while the spending multiplier is robustly estimated to be larger than one across different models, the estimate of the tax multiplier is sensitive to the combination of instruments that we use. We unveil that …
Invalid Proxies and Volatility Changes
When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the dynamic causal effects. However, if these volatility shifts are properly incorporated into the analysis through (testable) “stability restrictions”, we demonstrate that the target IRFs are point-identified and can…
Mathematics (4 works) · Monetary Policy and Economic Impact (4 works) · Econometrics (3 works) · Statistics (3 works) · Computer Science (2 works) · Economics (2 works) · Fiscal Policies and Political Economy (2 works) · Inference (2 works) · Market Dynamics and Volatility (2 works) · Monte Carlo method (2 works)