Photo of Celso Brunetti

Celso Brunetti

Education

  • Ph.D., Economics, University of London, 1999
Current Research Topics
  • Financial Networks
  • Financial Markets and Systemic Risk
  • Assistant Director

    Board of Governors of the Federal Reserve System

    2022 - present
  • Chief, Systemic Financial Institutions and Markets

    Board of Governors of the Federal Reserve System

    2015 - 2022
  • Visiting Professor

    Bocconi University, Milan

    2017 - 2018
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2014 - 2015
  • Economist

    Board of Governors of the Federal Reserve System

    2011 - 2014
  • 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
  • Measuring Interest Rate Risk Management by Financial Institutions
    Celso Brunetti, Nathan Foley-Fisher, and Stéphane Verani
    Finance and Economics Discussion Series (2023)
    https://doi.org/10.17016/FEDS.2023.067
  • Analyzing State Resilience to Weather and Climate Disasters
    Celso Brunetti, Benjamin Dennis, Gurubala Kotta, and Adam Smith
    FEDS Notes (2023)
    https://doi.org/10.17016/2380-7172.3342
  • Networks, interconnectedness, and interbank information asymmetry
    Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad
    Journal of Financial Stability (2023)
    https://doi.org/10.1016/j.jfs.2023.101163
    See also » FRB Working Paper (2021)
  • The urgency to borrow in the interbank market
    Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad
    Economics Letters (2022)
    https://doi.org/10.1016/j.econlet.2022.110900
  • Climate-related Financial Stability Risks for the United States: Methods and Applications
    Celso Brunetti, John Caramichael, Matteo Crosignani, Benjamin Dennis, Gurubala Kotta, Don Morgan, Chaehee Shin, and Ilknur Zer Boudet
    Finance and Economics Discussion Series (2022)
    https://doi.org/10.17016/FEDS.2022.043
  • Sidedness in the interbank market
    Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad
    Journal of Financial Markets (2022)
    https://doi.org/10.1016/j.finmar.2021.100663
  • Counterparty Risk in Over-the-Counter Markets
    Christoph Frei, Agostino Capponi, and Celso Brunetti
    Journal of Financial and Quantitative Analysis (2022)
    https://doi.org/10.1017/S0022109021000491
    See also » FRB Working Paper (2017)
  • Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
    Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad
    Finance and Economics Discussion Series (2021)
    https://doi.org/10.17016/FEDS.2021.017
  • Climate Change and Financial Stability
    Celso Brunetti, Benjamin Dennis, Dylan Gates, Diana Hancock, David Ignell, Elizabeth K. Kiser, Gurubala Kotta, Anna Kovner, Richard J. Rosen, and Nicholas K. Tabor
    FEDS Notes (2021)
    https://doi.org/10.17016/2380-7172.2893
  • High Frequency Traders and the Price Process
    Yacine Aït-Sahalia and Celso Brunetti
    Journal of Econometrics (2020)
    https://doi.org/10.1016/j.jeconom.2019.11.005
  • Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
    Gaetano Antinolfi and Celso Brunetti
    Financial Markets, Institutions & Instruments (2019)
    https://doi.org/10.1111/fmii.12107
    See also » FRB Working Paper (2013)
  • Interconnectedness in the Interbank Market
    Celso Brunetti, Jeffrey H. Harris, Shawn Mankad, and George Michailidis
    Journal of Financial Economics (2019)
    https://doi.org/10.1016/j.jfineco.2019.02.006
    See also » FRB Working Paper (2015)
  • Bank Holdings and Systemic Risk
    Celso Brunetti, Jeffrey H. Harris, and Shawn Mankad
    Finance and Economics Discussion Series (2018)
    https://doi.org/10.17016/FEDS.2018.063
  • Trading Networks
    Lada Adamic, Celso Brunetti, Jeffrey H. Harris, and Andrei Kirilenko
    Econometrics Journal (2017)
    https://doi.org/10.1111/ectj.12090
  • Speculators, Prices, and Market Volatility
    Celso Brunetti, Bahattin Büyükşahin, and Jeffrey H. Harris
    Journal of Financial and Quantitative Analysis (2016)
    https://doi.org/10.1017/S0022109016000569
  • Commodity Index Trading and Hedging Costs
    Celso Brunetti and David A. Reiffen
    Journal of Financial Markets (2014)
    https://doi.org/10.1016/j.finmar.2014.08.001
    See also » FRB Working Paper (2012)
  • Visual Analytics for Network-Based Market Surveillance
    Shawn Mankad, George Michailidis, and Celso Brunetti
    Association for Computing Machinery (2014)
  • Herding and Speculation in the Crude Oil Market
    Celso Brunetti, Bahattin Buyuksahin, and Jeffrey H. Harris
    Energy Journal (2013)
    https://doi.org/10.5547/01956574.34.3.5
  • OPEC Fair Price Pronouncements and the Market Price of Crude Oil
    Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson
    Energy Journal (2013)
    https://doi.org/10.5547/01956574.34.4.5
  • Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis
    Celso Brunetti, Mario di Filippo, and Jeffrey H. Harris
    Review of Financial Studies (2011)
    https://doi.org/10.1093/rfs/hhq123
  • Coevolution of Network Structure and Content
    Liuling Gong, Chun-Yuen Teng, Avishay Livne, Celso Brunetti, and Lada Adamic
    Proceedings of ACM Web Science 2014, Indiana University, Bloomington, 23-26 June 2014 (2011)
    https://doi.org/10.1145/2380718.2380756
  • Markov Switching GARCH Models of Currency Turmoil in Southeast Asia
    Celso Brunetti, Chiara Scotti, Roberto S. Mariano, and Augustine H. H. Tan
    Emerging Markets Review (2008)
    https://doi.org/10.1016/j.ememar.2008.02.005
    See also » FRB Working Paper (2007)
  • Markov Switching GARCH Models of Currency Turmoil in Southeast Asia
    Celso Brunetti, Roberto S. Mariano, Chiara Scotti, and Augustine H.H. Tan
    International Finance Discussion Papers (2007)
    https://doi.org/10.17016/IFDP.2007.889
  • Time Series Modeling of Daily Log-Price Ranges for CHF/USD and USD/GBP
    Celso Brunetti and Peter M. Lildholdt
    Journal of Derivatives (2007)
    https://doi.org/10.3905/jod.2007.699045
  • Bivariate FIGARCH and Fractional Cointegration
    Celso Brunetti and Christopher L. Gilbert
    Journal of Empirical Finance (2000)
    https://doi.org/10.1016/S0927-5398(00)00021-9
  • Metals Price Volatility, 1972-95
    Celso Brunetti and Christopher L. Gilbert
    Resources Policy (1995)
    https://doi.org/10.1016/0301-4207(96)85057-4
  • discussion

    January 2024

    AFA-IBEFA

    A Structural Model of Interbank Network Formation and Contagion

  • discussion

    November 2023

    OFR/Cleveland Fed Financial Stability Conference

    Measuring the Climate Risk Exposure of Insurers

  • conference

    October 2023

    CEAR | CenFIS Conference: Interest Rate Variability and the Financial Sector

    Measuring Interest Rate Risk Management by Financial Institutions

  • conference

    June 2023

    8th Annual Conference of the Society for Economic Measurement, Milan, Italy

    Interconnectedness in the Corporate Bond Market

  • seminar

    March 2023

    New York University, Invited Guest Lecture

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

  • conference

    July 2022

    International Risk Management Conference, Bari, Italy

    Bayesian Semi-Non-Negative Matrix Factorization: A Technique for Estimating Bank Holdings and Systemic Risk

  • conference

    July 2022

    European Financial Management Association, Rome

    Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

  • discussion

    July 2022

    European Financial Management Association, Rome

    Climate Risks and House Prices: The Insurance Channel Authors: Nicola Garbarino, Benjamin Guin, Jonathan Lee

  • conference

    June 2022

    IAAE Annual Conference, London

    Bayesian Semi-Non-Negative Matrix Factorization: A Technique for Estimating Bank Holdings and Systemic Risk

  • conference

    November 2021

    IV Conference on Financial Stability, Mexico City

    Macroprudential Policy and Systemic Risk - Session Chair

  • seminar

    March 2021

    Columbia University, Invited Guest Lecture

    Interconnectedness and Systemic Risk

  • conference

    February 2020

    4th Annual Commodity Markets Winter Workshop, Quebec City, Canada

    Crude Oil Price Movements and Institutional Traders

  • conference

    January 2020

    ASSA - AEA

    Bank Holdings and Systemic Risk

  • discussion

    September 2019

    FDIC/JFSR Bank Research Conference

    Interconnectedness, Systemic Risk, and Policy Implications

  • conference

    August 2019

    European Economic Association

    Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

  • conference

    June 2019

    Hawkes Process in Finance and Data Science Conference

    Hawkes processes: What future in Finance

  • seminar

    January 2019

    The FIELDS Institute

    10 Years After the Crisis: Modelling Meets Policy Making

  • conference

    June 2018

    International Association for Applied Econometrics, Montreal

    Bank Holdings and Systemic Risk

  • conference

    May 2018

    SDSS-Symposium on Data Science & Statistics, Reston

    Systemic Risk from Asset Concentration and Common Holdings among Banks

  • seminar

    March 2018

    IAQF & Thalesians, NYU, New York

    Bank Holdings and Systemic Risk

  • conference

    December 2017

    10th International Conference CFE-CMStatistics, American Statistical Association, London

    Bank Holdings and Systemic Risk

  • conference

    June 2018

    International Association for Applied Econometrics, Sapporo

    Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

  • conference

    June 2017

    3rd International Workshop on "Financial Markets and Nonlinear Dynamics," Paris

    Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

  • conference

    September 2016

    Portsmouth–Fordham conference on Banking & Finance, Portsmouth

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

  • conference

    June 2016

    Society for Computational Economics, Bordeaux

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

  • conference

    June 2016

    International Association for Applied Econometrics, Milan

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

  • seminar

    November 2015

    Thematic Semester on Commodity Derivatives Markets: Industrial Organization, Regulation and Financialization

    The Role of Hedgers and Speculators in Commodity Markets

  • conference

    Novemeber 2014

    Behavioral Aspects in Macroeconomics and Finance, SAFE at Goethe University, Universita' Cattolica and the University of Amsterdam

    Interconnectedness in the Interbank Market

  • seminar

    November 2014

    Commodity Futures Trading Commission

    Interconnectedness in the Interbank Market

  • conference

    October 2014

    Systemic 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 2014

    Society for Computational Economics, Oslo

    Interconnectedness in the Interbank Market

  • conference

    June 2014

    International Association for Applied Econometrics, London

    Interconnectedness in the Interbank Market

  • 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
  • July 2023 | Florence, Italy

    International Risk Management Conference 2023

    Organizing Committee

  • December 2021 | Washington DC

    Second Conference on the Interconnectedness of Financial Systems

    Organizing Committee

  • November 2021 | Mexico City

    IV Conference on Financial Stability

    Program Committee

  • 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

Referee
  • European Financial Management
  • 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
  • FMA
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Last Update: January 16, 2024