Meet the Researchers
Celso Brunetti
[email protected]
Education
- Ph.D., Economics, University of London, 1999
- Financial Networks
- Financial Markets and Systemic Risk
Assistant Director
Board of Governors of the Federal Reserve System
2022 - presentChief, Systemic Financial Institutions and Markets
Board of Governors of the Federal Reserve System
2015 - 2022Visiting 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
- Mortgage rates and credit risk: Evidence from mortgage pools
Gaetano Antinolfi, Celso Brunetti, and Jay Im
European Financial Management (Forthcoming)
https://doi.org/10.1111/eufm.12486 - Climate-Related Financial Stability Risks for the United States: Methods and Applications
Celso Brunetti, Matteo Crosignani, Benjamin Dennis, Gurubala Kotta, Donald P. Morgan, Chaehee Shin, and Ilknur Zer
Economic Policy Review (2024)
https://doi.org/10.59576/epr.30.1.1-37
See also » FRB Working Paper (2022) - Interconnectedness in the Corporate Bond Market
Celso Brunetti, Matthew Carl, Jacob Gerszten, Chiara Scotti, and Chaehee Shin
Finance and Economics Discussion Series (2024)
https://doi.org/10.17016/FEDS.2024.066 - Reasons Behind Words: OPEC Narratives and the Oil Market
Celso Brunetti, Marc Joëts, and Valérie Mignon
Finance and Economics Discussion Series (2024)
https://doi.org/10.17016/FEDS.2024.003 - Crude Oil Price Movements and Institutional Traders
Celso Brunetti, Jeffrey H. Harris, and Bahattin Büyükşahin
Commodities (2024)
https://doi.org/10.3390/commodities3010006 - 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 2024AFA-IBEFA
A Structural Model of Interbank Network Formation and Contagion
discussion
November 2023OFR/Cleveland Fed Financial Stability Conference
Measuring the Climate Risk Exposure of Insurers
conference
October 2023CEAR | CenFIS Conference: Interest Rate Variability and the Financial Sector
Measuring Interest Rate Risk Management by Financial Institutions
conference
June 20238th Annual Conference of the Society for Economic Measurement, Milan, Italy
Interconnectedness in the Corporate Bond Market
seminar
March 2023New York University, Invited Guest Lecture
Climate-related Financial Stability Risks for the United States: Methods and Applications
conference
July 2022International Risk Management Conference, Bari, Italy
Bayesian Semi-Non-Negative Matrix Factorization: A Technique for Estimating Bank Holdings and Systemic Risk
conference
July 2022European Financial Management Association, Rome
Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
discussion
July 2022European Financial Management Association, Rome
Climate Risks and House Prices: The Insurance Channel Authors: Nicola Garbarino, Benjamin Guin, Jonathan Lee
conference
June 2022IAAE Annual Conference, London
Bayesian Semi-Non-Negative Matrix Factorization: A Technique for Estimating Bank Holdings and Systemic Risk
conference
November 2021IV Conference on Financial Stability, Mexico City
Macroprudential Policy and Systemic Risk - Session Chair
seminar
March 2021Columbia University, Invited Guest Lecture
Interconnectedness and Systemic Risk
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
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