Celso Brunetti

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

27

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Top 9,766

in Total Papers Downloads

8,929

SSRN CITATIONS
Rank 8,156

SSRN RANKINGS

Top 8,156

in Total Papers Citations

115

CROSSREF CITATIONS

92

Scholarly Papers (27)

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
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 1,549 (22,536)
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 1,051 (39,672)
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
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising and American University - Department of Finance and Real Estate
Downloads 929 (47,138)
Citation 66

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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
Board of Governors of the Federal Reserve System, Singapore Management University, Board of Governors of the Federal Reserve System and Singapore Management University - School of Social Sciences
Downloads 577 (88,112)
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 540 (95,769)
Citation 28

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Central Bank, Interbank Market, Interventions, Volatility

6.

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 509 (103,008)
Citation 2

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7.

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 466 (114,540)
Citation 10

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Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM

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
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 437 (123,548)
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
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 412 (132,345)
Citation 20

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

10.

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 320 (174,834)
Citation 17

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index trading, hedging, limits to arbitrage, backwardation

11.

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

Number of pages: 35 Posted: 23 Jul 2002
Board of Governors of the Federal Reserve System and Bank of England - Monetary AnalysisDanske Bank
Downloads 276 (203,967)
Citation 6

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

12.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System and American University - Department of Finance and Real Estate
Downloads 265 (212,445)
Citation 2

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

13.
Downloads 256 (219,811)
Citation 27

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-90
Posted: 09 Jul 2021 Last Revised: 30 Jun 2021
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
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 256 (218,680)
Citation 10

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

14.

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 213 (262,408)

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

15.

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
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, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 170 (321,292)

Abstract:

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Climate change, Financial stability and risk

16.

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 165 (329,636)
Citation 1

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securitization, mortgage rates, subprime mortgage pools

Measuring Interest Rate Risk Management by Financial Institutions

Number of pages: 67 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 112 (449,265)

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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 51 (716,665)
Citation 1

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

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 119 (428,989)

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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 33 (851,304)

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Markov Switching GARCH Models of Currency Turmoil in Southeast Asia

International Finance Discussion Paper No. 889
Posted: 07 Jul 2021
Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, Board of Governors of the Federal Reserve System 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
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Board of Governors of the Federal Reserve System
Downloads 141 (375,625)
Citation 11

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

20.

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 107 (462,226)

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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 60 (662,449)

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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 41 (786,947)
Citation 1

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Mortgage backed securities, volatility, great moderation

22.

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 59 (655,697)
Citation 3

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Sidedness, Liquidity, Credit Default Swaps

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 39 (781,655)

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

24.

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 32 (835,946)

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Trading Urgency, Credit Default Swaps, ECB Operations, Liquidity

25.

Analyzing State Resilience to Weather and Climate Disasters

FEDS Notes No. 2023-09-07
Posted: 18 Oct 2023
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System

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26.

Climate Change and Financial Stability

FEDS Notes No. 2021-03-19-3
Posted: 22 Mar 2021 Last Revised: 17 Jun 2021
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, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Federal Reserve Bank of Chicago - Economic Research and Board of Governors of the Federal Reserve System

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27.

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
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)