Celso Brunetti

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

22

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Top 7,473

in Total Papers Downloads

7,418

SSRN CITATIONS
Rank 8,241

SSRN RANKINGS

Top 8,241

in Total Papers Citations

63

CROSSREF CITATIONS

94

Scholarly Papers (22)

1.

On the Informational Properties of Trading Networks

Trading Networks, 2017, Econometrics Journal 20(3), S126-S149
Number of pages: 29 Posted: 17 Mar 2009 Last Revised: 06 Aug 2019
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1,470 (15,363)
Citation 28

Abstract:

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trading networks, financial networks, limit order book, limit order markets

2.

Is Speculation Destabilizing?

Number of pages: 37 Posted: 22 Apr 2009
Celso Brunetti and Bahattin Buyuksahin
Board of Governors of the Federal Reserve System and CoMeX Consulting and Advising
Downloads 942 (29,797)
Citation 35

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Speculation, hedge fund, swap dealer, realized volatility, price, Granger-causality

3.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising and American University - Department of Finance and Real Estate
Downloads 815 (36,412)
Citation 57

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Speculation, hedge funds, swap dealers, realized volatility, price

4.

Markov Switching GARCH Models of Currency Crises in Southeast Asia

Number of pages: 44 Posted: 04 Apr 2003
Board of Governors of the Federal Reserve System, Singapore Management University, Board of Governors of the Federal Reserve System and Singapore Management University - School of Social Sciences
Downloads 547 (61,632)
Citation 4

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Currency Crises, Markov Switching Models, Volatility

5.

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

Number of pages: 36 Posted: 02 Jul 2009
Celso Brunetti, Mario di Filippo and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, World Bank Group and American University - Department of Finance and Real Estate
Downloads 502 (68,526)
Citation 28

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Central Bank, Interbank Market, Interventions, Volatility

6.

Bivariate FIGARCH and Fractional Cointegration

Queen Mary & Westfield College, Department of Economics Working Paper No. 408
Number of pages: 21 Posted: 01 Mar 2000
Celso Brunetti and Christopher L. Gilbert
Board of Governors of the Federal Reserve System and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 475 (73,372)
Citation 2

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7.

Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil

Number of pages: 35 Posted: 06 Aug 2010 Last Revised: 15 Mar 2015
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)
Downloads 402 (89,397)
Citation 6

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Crude oil, OPEC, Fair price, Announcement, Market price, Event study, Kalman filter, Autoregressive Distributed Lag (ADL)

8.

Asset Prices and Asset Correlations in Illiquid Markets

Number of pages: 24 Posted: 01 Dec 2004
Celso Brunetti and Alessio Caldarera
Board of Governors of the Federal Reserve System and PIMCO Europe Ltd.
Downloads 364 (100,175)
Citation 4

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Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM

9.

Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets

Number of pages: 48 Posted: 14 Jan 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 338 (108,874)
Citation 20

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Co-range, foreign exchange rates, price range, high and low prices, covariance estimation, volatility dynamics

10.

Commodity Index Trading and Hedging Costs

Number of pages: 43 Posted: 18 Dec 2010 Last Revised: 15 May 2012
Celso Brunetti and David Reiffen
Board of Governors of the Federal Reserve System and U.S. Commodity Futures Trading Commission (CFTC)
Downloads 285 (130,711)
Citation 17

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index trading, hedging, limits to arbitrage, backwardation

11.

Time Series Modelling of Daily Log-Price Ranges for Sf/Usd and Usd/Gbp

Number of pages: 35 Posted: 23 Jul 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 256 (145,977)
Citation 6

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Daily Price Range, Foreign Exchange Rate Volatility, Persistency, CARR, FICARR

12.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System and American University - Department of Finance and Real Estate
Downloads 235 (158,595)
Citation 1

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Markov regime-switching, hedge fund, swap dealer, institutional positions

13.

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate, Cornell University and University of Michigan at Ann Arbor
Downloads 188 (195,335)
Citation 10

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Interconnectedness, correlation network, financial crisis, interbank market, physical network

14.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-083
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University and Board of Governors of the Federal Reserve System
Downloads 156 (229,241)

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Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities

15.

Markov Switching Garch Models of Currency Turmoil in Southeast Asia

FRB International Finance Discussion Paper No. 889
Number of pages: 44 Posted: 03 Apr 2007
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Board of Governors of the Federal Reserve System
Downloads 118 (284,833)
Citation 10

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Currency crises, Financial markets, Banking sector, Regime Switching, Volatility

16.

Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

Number of pages: 33 Posted: 15 Jul 2016 Last Revised: 06 Dec 2016
Gaetano Antinolfi, Celso Brunetti and Jay Im
Washington University in St. Louis - Department of Economics, Board of Governors of the Federal Reserve System and Duke University - Fuqua School of Business
Downloads 103 (312,886)
Citation 2

Abstract:

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securitization, mortgage rates, subprime mortgage pools

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

Number of pages: 40 Posted: 11 May 2020 Last Revised: 02 Mar 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and Cornell University
Downloads 71 (396,425)

Abstract:

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banking networks, interconnectedness, liquidity

Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry

FEDS Working Paper No. 2021-17
Number of pages: 42 Posted: 14 Jun 2021
Celso Brunetti
Board of Governors of the Federal Reserve System
Downloads 1 (806,699)

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

Number of pages: 29 Posted: 28 Sep 2012
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 43 (503,830)

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Great Moderation, Volatility, Mortgage Backed Securities, Regime Switching

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

FEDS Working Paper No. 2013-42
Number of pages: 33 Posted: 31 Jul 2013
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 26 (599,428)
Citation 1

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Mortgage backed securities, volatility, great moderation

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

Financial Markets, Institutions & Instruments, Vol. 28, Issue 2, pp. 85-113, 2019
Number of pages: 29 Posted: 05 Apr 2019
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 1 (806,699)
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Great Moderation, Mortgage‐backed securities, Volatility

19.

Bank Holdings and Systemic Risk

FEDS Working Paper No. 2018-063
Number of pages: 52 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and Cornell University
Downloads 56 (441,810)

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Systemic risk, Concentration index, Bank holdings, Similarity index

20.

Sidedness and the Urgency to Borrow in the Interbank Market

Number of pages: 42 Posted: 12 May 2020 Last Revised: 09 Mar 2021
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and Cornell University
Downloads 24 (595,416)
Citation 1

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Sidedness, Liquidity, Credit Default Swaps

21.

Climate Change and Financial Stability

FEDS Notes No. 2021-03-19-3
Posted: 22 Mar 2021 Last Revised: 17 Jun 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Federal Reserve Bank of Chicago - Economic Research and Board of Governors of the Federal Reserve System

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22.

OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil

Energy Journal, Vol. 34, No. 4, 2013
Posted: 17 Nov 2012 Last Revised: 06 Oct 2013
Board of Governors of the Federal Reserve System, CoMeX Consulting and Advising, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)

Abstract:

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Crude oil, OPEC, Fair price, Market price, Event study, Autoregressive Distributed Lag (ADL)