Cut the rabbit into medium pieces. Heat olive oil in a large pan over medium-high heat and fry the rabbit pieces until golden brown on all sides, approximately 10-12 minutes.
Finely chop the bacon, rosemary, and sage together. Add to the pan along with the bay leaf. Pour in some of the broth and bring to a gentle simmer over medium heat. Simmer gently for 1 hour, gradually adding the remaining broth every 15 minutes.
Finely chop the onion, garlic, and anchovies. Heat olive oil in a separate pan over medium heat. Sauté the chopped mixture for 2 minutes. Add the red pepper strips and increase heat to medium-high. Fry for 4 minutes, gradually adding the white vinegar and allowing it to evaporate between each addition.
Add the pepper mixture to the rabbit, stir well, cover the pan, and cook over medium-low heat for 30-40 minutes until the rabbit is tender and cooked through.