Meet the Economists
Celso Brunetti
celso.brunetti@frb.gov
Education
- Ph.D., Economics, University of London, 1999
- Financial Networks
- Financial Markets and Systemic Risk
Chief
Board of Governors of the Federal Reserve System
2015 - presentVisiting Professor
Bocconi University, Milan
2017 - 2018Senior Economist
Board of Governors of the Federal Reserve System
2014 - 2015Economist
Board of Governors of the Federal Reserve System
2011 - 2014Assistant Professor in Finance
Johns Hopkins University
2003 - 2011Visiting Economist
Commodity Futures Trading Commission, Office of the Chief Economist
2008 - 2011Visiting Professor
University of Pennsylvania
2000 - 2003
- Aït-Sahalia, Yacine, and Celso Brunetti (2020). "High Frequency Traders and the Price Process," Journal of Econometrics, vol. 217, no. 1, pp. 20-45.
- Brunetti, Celso, Jeffrey H. Harris, Shawn Mankad, and George Michailidis (2019). "Interconnectedness in the Interbank Market," Journal of Financial Economics., vol. 133, no. 2, pp. 520-538.
- Antinolfi, Gaetano, and Celso Brunetti (2019). "Economic volatility and financial markets: The case of mortgage‐backed securities" Financial Markets, Institutions & Instruments, vol. 28, no. 2, pp. 85-113.
- Brunetti, Celso, Jeffrey H. Harris, and Shawn Mankad (2018). "Bank Holdings and Systemic Risk," Finance and Economics Discussion Series 2018-063. Board of Governors of the Federal Reserve System (U.S.).
- Frei, Christoph, Agostino Capponi, and Celso Brunetti (2018). "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series 2017-083. Board of Governors of the Federal Reserve System (U.S.).
- Adamic, Lada, Celso Brunetti, Jeffrey H. Harris, and Andrei Kirilenko (2017). "Trading Networks," Econometrics Journal, vol. 20, no. 3, pp. S126-49.
- Brunetti, Celso, Bahattin Büyükşahin, and Jeffrey H. Harris (2016). "Speculators, Prices, and Market Volatility," Journal of Financial and Quantitative Analysis, vol. 51, no. 5, pp. 1545-1574.
- Brunetti, Celso, and David A. Reiffen (2014). "Commodity Index Trading and Hedging Costs," Journal of Financial Markets, vol. 21, pp. 153-180.
- Mankad, Shawn, George Michailidis, and Celso Brunetti (2014). "Visual Analytics for Network-Based Market Surveillance," In Proceedings of the SIGMOD Data Science for Macro Modeling Workshop.
- Brunetti, Celso, Bahattin Buyuksahin, and Jeffrey 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, Chiara Scotti, Roberto S. Mariano, and Augustine H. H. Tan (2008). "Markov Switching GARCH Models of Currency Turmoil in Southeast Asia," Emerging Markets Review, vol. 9, no. 2, pp. 104-128.
- 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
February 20204th Annual Commodity Markets Winter Workshop, Quebec City, Canada
Crude Oil Price Movements and Institutional Traders
conference
January 2020ASSA - AEA
Bank Holdings and Systemic Risk
discussion
September 2019FDIC/JFSR Bank Research Conference
Interconnectedness, Systemic Risk, and Policy Implications
conference
August 2019European Economic Association
Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
conference
June 2019Hawkes Process in Finance and Data Science Conference
Hawkes processes: What future in Finance
seminar
January 2019The FIELDS Institute
10 Years After the Crisis: Modelling Meets Policy Making
conference
June 2018International Association for Applied Econometrics, Montreal
Bank Holdings and Systemic Risk
conference
May 2018SDSS-Symposium on Data Science & Statistics, Reston
Systemic Risk from Asset Concentration and Common Holdings among Banks
seminar
March 2018IAQF & Thalesians, NYU, New York
Bank Holdings and Systemic Risk
conference
December 201710th International Conference CFE-CMStatistics, American Statistical Association, London
Bank Holdings and Systemic Risk
conference
June 2018International Association for Applied Econometrics, Sapporo
Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
conference
June 20173rd International Workshop on "Financial Markets and Nonlinear Dynamics," Paris
Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
conference
September 2016Portsmouth–Fordham conference on Banking & Finance, Portsmouth
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
conference
June 2016Society for Computational Economics, Bordeaux
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
conference
June 2016International Association for Applied Econometrics, Milan
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
seminar
November 2015Thematic Semester on Commodity Derivatives Markets: Industrial Organization, Regulation and Financialization
The Role of Hedgers and Speculators in Commodity Markets
conference
Novemeber 2014Behavioral Aspects in Macroeconomics and Finance, SAFE at Goethe University, Universita' Cattolica and the University of Amsterdam
Interconnectedness in the Interbank Market
seminar
November 2014Commodity Futures Trading Commission
Interconnectedness in the Interbank Market
conference
October 2014Systemic Risk and Macro-Prudential Regulation: Perspectives from Network Analysis, Univeristy of Cambridge Isaac Newton Institute and Bank of England
Interconnectedness in the Interbank Market
conference
June 2014Society for Computational Economics, Oslo
Interconnectedness in the Interbank Market
conference
June 2014International Association for Applied Econometrics, London
Interconnectedness in the Interbank Market
conference
July 2013Australasia Econometric Society Meeting, Sydney
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
conference
June 2013International Banking, Economics and Finance Association, Seattle
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
conference
March 2012Info-Metrics Institute, Washington DC
Trading Networks
conference
September 2009NBER-NSF Time Series Conference, University of California - Davis
Trading Networks
conference
August 2009Econometric Society Summer Meeting, Barcelona, Spain
Trading Networks
seminar
March 2010Queen's University, Kingstone, Canada
Speculation, Prices and Volatility
conference
July 2010Society for Computational Economics, University of London, London
Speculation, Prices and Volatility
conference
August 2009Yale School of Management-RFS Financial Crisis Conference, Yale
Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis
conference
October 2009LACEA-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 2019 | Arlington VA
FDIC/JFSR Bank Research Conference
Program Committee
March 2019 | Washington DC
The Interconnectedness of Financial Systems
Organizing Committee
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
- Operation Research
- Journal of Money, Credit and Banking
- Statistics & Risk Modeling
- Journal of Financial and Quantitative Analysis
- Nature
- Journal of Financial Markets
- Energy Economics
Professional Affiliation
- AEA
- AFA
- Econometric Society