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TheEconomists

Photo of Celso Brunetti
202-452-3134
celso.brunetti@frb.gov
Education
  • Ph.D., Economics, University of London, 1999
  • Current Research Topics

  • FInancial Networks
  • Commodity Markets
    • Economist

      Board of Governors of the Federal Reserve System

    • 2011 - present
    • Assistant Professor in Finance

      Johns Hopkins University

    • 2003 - 2011
    • Visiting Economist

      Commodity Futures Trading Commission, Office of the Chief Economist

    • 2008 - 2011
    • Visiting Professor

      University of Pennsylvania

    • 2000 - 2003
  • Brunetti, Celso, and David A. Reiffen (Forthcoming). "Commodity Index Trading and Hedging Costs," Journal of Financial Markets.
  • Mankad, Shawn, George Michailidis, and Celso Brunetti (2014). "Visual Analytics for Network-Based Market Surveillance," In Proceedings of the SIGMOD Data Science for Macro Mod-Eling Workshop.
  • Antinolfi, Gaetano, and Celso Brunetti (2013). "Economic Volatility and Financial Markets," Finance and Economics Discussion Series 2013-42. Board of Governors of the Federal Reserve System (U.S.).
  • Brunetti, Celso, Bahattin Buyuksahin, and Jeffery H. Harris (2013). "Herding and Speculation in the Crude Oil Market," Energy Journal, vol. 34, no. 3, pp. 83-104.
  • Brunetti, Celso, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson (2013). "OPEC Fair Price Pronouncements and the Market Price of Crude Oil," Energy Journal, vol. 34, no. 4, pp. 79-108.
  • Gong, Liuling, Chun-Yuen Teng, Avishay Livne, Celso Brunetti, and Lada Adamic (2011). "Coevolution of Network Structure and Content," In Proceedings of ACM Web Science 2014, Indiana University, Bloomington, 23-26 June 2014.
  • Brunetti, Celso, Mario di Filippo, and Jeffrey H. Harris (2011). "Effects of Central Bank Intervention on the Interbank Market during the Subprime Crisis," Review of Financial Studies, vol. 24, no. 6, pp. 2053-2083.
  • Brunetti, Celso, and Peter M. Lildholdt (2007). "Time Series Modeling of Daily Log-Price Ranges for CHF/USD and USD/GBP," Journal of Derivatives, vol. 15, no. 2, pp. 39-59.
  • Brunetti, Celso, and Christopher L. Gilbert (2000). "Bivariate FIGARCH and Fractional Cointegration," Journal of Empirical Finance, vol. 7, no. 5, pp. 509-530.
  • Brunetti, Celso, and Christopher L. Gilbert (1995). "Metals Price Volatility, 1972-95," Resources Policy, vol. 21, no. 4, pp. 237-254.
  • conference

    June 2014

    Society for Computational Economics, Oslo

    The Breakdown of the European Interbank Market during the Financial Crisis

  • conference

    June 2014

    International Association for Applied Econometrics, London

    The Breakdown of the European Interbank Market during the Financial Crisis

  • conference

    July 2013

    Australasia Econometric Society Meeting, Sydney

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

  • conference

    June 2013

    International Banking, Economics and Finance Association, Seattle

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

  • conference

    March 2012

    Info-Metrics Institute, Washington DC

    Trading Networks

  • conference

    September 2009

    NBER-NSF Time Series Conference, University of California - Davis

    Trading Networks

  • conference

    August 2009

    Econometric Society Summer Meeting, Barcelona, Spain

    Trading Networks

  • seminar

    March 2010

    Queen's University, Kingstone, Canada

    Speculation, Prices and Volatility

  • conference

    July 2010

    Society for Computational Economics, University of London, London

    Speculation, Prices and Volatility

  • conference

    August 2009

    Yale School of Management-RFS Financial Crisis Conference, Yale

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

  • conference

    October 2009

    LACEA-LAMES, Buenos Aires, Argentina, (Invited Speaker)

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

Awards

  • 2009

    U.S. Government

    I.P.A. - Grant

Conference Organization

  • September 2013 Washington DC

    NBER-NSF Time Series Conference

    Local organizer

Editor

  • Associate Editor: Journal of Financial Management, Markets and Institutions (JFMI)

Referee

  • Journal of Empirical Finance
  • Quantitative Finance
  • European Economic Review
  • Journal of the Royal Statistical Society
  • Applied Economics Letters
  • Studies in Nonlinear Dynamics and Econometrics
  • Journal of Applied Econometrics
  • Journal of Econometrics
  • International Economic Review
  • International Review of Finance
  • Energy Journal

Professional Affiliation

  • AEA
  • AFA
  • Econometric Society
  • FMA
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Last update: October 27, 2014