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 - presentSenior 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
- 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, Jeffrey H. Harris, Shawn Mankad, and George Michailidis (2015). "Interconnectedness in the Interbank Market," Finance and Economics Discussion Series 2015-090. Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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 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
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 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
Professional Affiliation
- AEA
- AFA
- Econometric Society
- FMA