Celso Brunetti

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

28

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Top 8,057

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263

Scholarly Papers (28)

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1.

On the Informational Properties of Trading Networks

Trading Networks, 2017, Econometrics Journal 20(3), S126-S149
Number of pages: 29 Posted: 17 Mar 2009 Last Revised: 06 Aug 2019
Lada Adamic, Lada Adamic, Celso Brunetti, Jeffrey H. Harris and Andrei A. Kirilenko
University of Michigan at Ann ArborXerox Corp. - Palo Alto Research Center, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1,577 (24,893)
Citation 28

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trading networks, financial networks, limit order book, limit order markets

2.

Is Speculation Destabilizing?

Number of pages: 37 Posted: 22 Apr 2009
Celso Brunetti and Bahattin Buyuksahin
Board of Governors of the Federal Reserve System and CoMeX Consulting and Advising
Downloads 1,085 (43,165)
Citation 35

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Speculation, hedge fund, swap dealer, realized volatility, price, Granger-causality

3.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Celso Brunetti, Bahattin Buyuksahin and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising and American University - Department of Finance and Real Estate
Downloads 968 (50,634)
Citation 69

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Speculation, hedge funds, swap dealers, realized volatility, price

4.

Markov Switching GARCH Models of Currency Crises in Southeast Asia

Number of pages: 44 Posted: 04 Apr 2003
Celso Brunetti, Roberto S. Mariano, Chiara Scotti and Augustine H.H. Tan
Board of Governors of the Federal Reserve System, Singapore Management University, Bank of Italy and Singapore Management University - School of Social Sciences
Downloads 590 (97,239)
Citation 5

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Currency Crises, Markov Switching Models, Volatility

5.

Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis

Number of pages: 36 Posted: 02 Jul 2009
Celso Brunetti, Mario di Filippo and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, World Bank Group and American University - Department of Finance and Real Estate
Downloads 564 (103,190)
Citation 28

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Central Bank, Interbank Market, Interventions, Volatility

6.

Asset Prices and Asset Correlations in Illiquid Markets

Number of pages: 24 Posted: 01 Dec 2004
Celso Brunetti and Alessio Caldarera
Board of Governors of the Federal Reserve System and PIMCO Europe Ltd.
Downloads 528 (111,756)
Citation 15

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Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM

7.

Bivariate FIGARCH and Fractional Cointegration

Queen Mary & Westfield College, Department of Economics Working Paper No. 408
Number of pages: 21 Posted: 01 Mar 2000
Celso Brunetti and Christopher L. Gilbert
Board of Governors of the Federal Reserve System and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 517 (114,663)
Citation 2

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8.

Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil

Number of pages: 35 Posted: 06 Aug 2010 Last Revised: 15 Mar 2015
Bahattin Buyuksahin, Celso Brunetti, Michel A. Robe and Kirsten R. Soneson
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System, University of Richmond - E. Claiborne Robins School of Business and Commodity Futures Trading Commission (CFTC)
Downloads 452 (134,801)
Citation 6

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Crude oil, OPEC, Fair price, Announcement, Market price, Event study, Kalman filter, Autoregressive Distributed Lag (ADL)

9.

Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets

Number of pages: 48 Posted: 14 Jan 2002
Celso Brunetti, Peter M. Lildholdt and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 434 (141,452)
Citation 20

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Co-range, foreign exchange rates, price range, high and low prices, covariance estimation, volatility dynamics

10.

Climate-Related Financial Stability Risks for the United States: Methods and Applications

Downloads 362 (173,635)
Citation 1

Climate-Related Financial Stability Risks for the United States: Methods and Applications

FEDS Working Paper No. 2022-43
Number of pages: 47 Posted: 12 Jul 2022
Celso Brunetti, John Caramichael, Matteo Crosignani, Benjamin Dennis, Gurubala Kotta, Donald P. Morgan, Chaehee Shin and Ilknur Zer
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Independent, University of California, Davis, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 293 (216,257)

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Climate change, Financial stability and risk

Climate-Related Financial Stability Risks for the United States: Methods and Applications

Economic Policy Review , Vol. 30, No. 1, 1-37, https://doi.org/10.59576/epr.30.1.1-37
Number of pages: 39 Posted: 04 Oct 2024
Celso Brunetti, Matteo Crosignani, Benjamin Dennis, Gurubala Kotta, Donald P. Morgan, Chaehee Shin and Ilknur Zer
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, University of California, Davis, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 69 (704,851)
Citation 1

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climate risk, climate change, financial stability, financial risk

11.

Commodity Index Trading and Hedging Costs

Number of pages: 43 Posted: 18 Dec 2010 Last Revised: 15 May 2012
Celso Brunetti and David Reiffen
Board of Governors of the Federal Reserve System and U.S. Commodity Futures Trading Commission (CFTC)
Downloads 342 (184,811)
Citation 17

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index trading, hedging, limits to arbitrage, backwardation

12.

Interconnectedness in the Interbank Market

Downloads 291 (219,494)
Citation 10

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-90
Posted: 09 Jul 2021 Last Revised: 30 Jun 2021
Celso Brunetti, Jeffrey H. Harris, Shawn Mankad and George Michailidis
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate, affiliation not provided to SSRN and affiliation not provided to SSRN

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Interconnectedness, correlation network, financial crisis, interbank markets, physical network

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Celso Brunetti, Jeffrey H. Harris, Shawn Mankad and George Michailidis
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate, North Carolina State University - Department of Business Management and University of Michigan at Ann Arbor
Downloads 291 (217,879)
Citation 10

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Interconnectedness, correlation network, financial crisis, interbank market, physical network

13.

Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp

Number of pages: 35 Posted: 23 Jul 2002
Celso Brunetti, Peter M. Lildholdt and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 285 (224,314)
Citation 6

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Daily Price Range, Foreign Exchange Rate Volatility, Persistency, CARR, FICARR

14.

Measuring Interest Rate Risk Management by Financial Institutions

Downloads 279 (229,258)
Citation 1

Measuring Interest Rate Risk Management by Financial Institutions

Number of pages: 77 Posted: 09 Nov 2023
Celso Brunetti, Nathan Foley-Fisher and Stephane Verani
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 194 (325,256)

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Financial institutions, interest rate risk management, high-frequency financial econometrics, subsampling, life insurers

Measuring Interest Rate Risk Management by Financial Institutions

FEDS Working Paper No. 2023-67
Number of pages: 68 Posted: 20 Oct 2023
Celso Brunetti, Nathan Foley-Fisher and Stephane Verani
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 85 (625,323)
Citation 1

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Financial institutions, Interest rate risk management, High-frequency financial econometrics, Subsampling, Life insurers

15.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
Bahattin Buyuksahin, Celso Brunetti and Jeffrey H. Harris
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System and American University - Department of Finance and Real Estate
Downloads 275 (232,632)
Citation 2

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Markov regime-switching, hedge fund, swap dealer, institutional positions

16.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-83
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University - Department of Industrial Engineering and Operations Research and Board of Governors of the Federal Reserve System
Downloads 223 (286,412)

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Over-the-counter markets, counterparty concentration, Counterparty risk, Negative externalities

17.

Interconnectedness in the Corporate Bond Market

Downloads 217 (293,895)

Interconnectedness in the Corporate Bond Market

Number of pages: 56 Posted: 09 May 2024 Last Revised: 16 May 2024
Celso Brunetti, Matthew Carl, Jacob Gerszten, Chiara Scotti and Chaehee Shin
Board of Governors of the Federal Reserve System, University of Wisconsin - Madison - Department of Finance, Investment and Banking, University of Michigan at Ann Arbor - Law School - SJD Candidate, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 147 (415,985)

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financial stability, interconnectedness, institutional investors, big data

Interconnectedness in the Corporate Bond Market

FEDS Working Paper No. 2024-66
Number of pages: 57 Posted: 03 Sep 2024
Celso Brunetti, Matthew Carl, Jacob Gerszten, Chiara Scotti and Chaehee Shin
Board of Governors of the Federal Reserve System, University of Wisconsin-Madison, University of Michigan Law School, JD Candidate Author, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 70 (699,244)

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Financial stability, Interconnectedness, Institutional investors, Big data

18.

Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

Number of pages: 33 Posted: 15 Jul 2016 Last Revised: 06 Dec 2016
Gaetano Antinolfi, Celso Brunetti and Jay Im
Washington University in St. Louis - Department of Economics, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 189 (334,381)
Citation 1

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securitization, mortgage rates, subprime mortgage pools

19.

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

Downloads 176 (356,508)

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

Number of pages: 40 Posted: 11 May 2020 Last Revised: 02 Mar 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 129 (462,570)

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banking networks, interconnectedness, liquidity

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

FEDS Working Paper No. 2021-17
Number of pages: 42 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 47 (852,458)

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20.

Markov Switching GARCH Models of Currency Turmoil in Southeast Asia

Downloads 155 (397,872)
Citation 13

Markov Switching GARCH Models of Currency Turmoil in Southeast Asia

International Finance Discussion Paper No. 889
Posted: 07 Jul 2021
Celso Brunetti, Roberto S. Mariano, Chiara Scotti and Augustine H. Tan
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, Bank of Italy and affiliation not provided to SSRN

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Markov Switching Garch Models of Currency Turmoil in Southeast Asia

FRB International Finance Discussion Paper No. 889
Number of pages: 44 Posted: 03 Apr 2007
Celso Brunetti, Roberto S. Mariano, Augustine H.H. Tan and Chiara Scotti
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Bank of Italy
Downloads 155 (397,913)
Citation 13

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Currency crises, Financial markets, Banking sector, Regime Switching, Volatility

21.

Bank Holdings and Systemic Risk

FEDS Working Paper No. 2018-63
Number of pages: 52 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 124 (475,386)

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22.

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities

Downloads 112 (513,554)
Citation 1

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities

Number of pages: 29 Posted: 28 Sep 2012
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 65 (727,823)

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Great Moderation, Volatility, Mortgage Backed Securities, Regime Switching

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities

FEDS Working Paper No. 2013-42
Number of pages: 33 Posted: 31 Jul 2013
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 47 (852,458)
Citation 1

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Mortgage backed securities, volatility, great moderation

23.

Reasons Behind Words: OPEC Narratives and the Oil Market

FEDS Working Paper No. 2024-3
Number of pages: 58 Posted: 04 Mar 2024
Celso Brunetti, Marc Joëts and Valerie Mignon
Board of Governors of the Federal Reserve System, IESEG School of Management and CEROS, Paris Nanterre University
Downloads 109 (523,923)

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OPEC Announcements, Structural Topic Models, Volatility, Traders’ Positions

24.

Sidedness in the Interbank Market

Journal of Financial Markets, Vol. 59, 100663, 2022
Number of pages: 30 Posted: 12 May 2020 Last Revised: 06 Jun 2022
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 76 (657,922)
Citation 3

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Sidedness, Liquidity, Credit Default Swaps

25.

The Urgency to Borrow in the Interbank Market

Number of pages: 15 Posted: 13 Jun 2022
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and North Carolina State University - Department of Business Management
Downloads 47 (832,832)

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Trading Urgency, Credit Default Swaps, ECB Operations, Liquidity

26.

Analyzing State Resilience to Weather and Climate Disasters

FEDS Notes No. 2023-09-07
Posted: 18 Oct 2023
Celso Brunetti, Gurubala Kotta, Adam Smith and Benjamin Dennis
Board of Governors of the Federal Reserve System, University of California, Davis, Independent and Board of Governors of the Federal Reserve System

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27.

Climate Change and Financial Stability

FEDS Notes No. 2021-03-19-3
Posted: 22 Mar 2021 Last Revised: 17 Jun 2021
Celso Brunetti, Benjamin Dennis, Dylan Gates, Diana Hancock, David Ignell, Elizabeth K. Kiser, Gurubala Kotta, Anna Kovner, Richard J. Rosen and Nicholas Kean Tabor
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, University of California, Davis, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Chicago - Economic Research and U.S. Department of the Treasury

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28.

OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil

Energy Journal, Vol. 34, No. 4, 2013
Posted: 17 Nov 2012 Last Revised: 06 Oct 2013
Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe and Kirsten R. Soneson
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising, University of Richmond - E. Claiborne Robins School of Business and Commodity Futures Trading Commission (CFTC)

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Crude oil, OPEC, Fair price, Market price, Event study, Autoregressive Distributed Lag (ADL)