Celso Brunetti
Personal Details
First Name: | Celso |
Middle Name: | |
Last Name: | Brunetti |
Suffix: | |
RePEc Short-ID: | pbr67 |
| |
http://www.federalreserve.gov/econresdata/celso-brunetti.htm | |
Federal Reserve Board | |
202 542 3134 |
Affiliation
(34%) Carey Business School
Johns Hopkins University
Baltimore, Maryland (United States)http://www.carey.jhu.edu/
RePEc:edi:bsjhuus (more details at EDIRC)
(33%) Commodity Futures Trading Commission (CFTC)
Government of the United States
Washington, District of Columbia (United States)http://www.cftc.gov/
RePEc:edi:cftgvus (more details at EDIRC)
(33%) Federal Reserve Board (Board of Governors of the Federal Reserve System)
Washington, District of Columbia (United States)http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Celso Brunetti & John Caramichael & Matteo Crosignani & Benjamin Dennis & Gurubala Kotta & Donald P. Morgan & Chaehee Shin & Ilknur Zer, 2022. "Climate-related Financial Stability Risks for the United States: Methods and Applications," Finance and Economics Discussion Series 2022-043, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2021. "Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry," Finance and Economics Discussion Series 2021-017, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti & Benjamin Dennis & Dylan Gates & Diana Hancock & David Ignell & Elizabeth K. Kiser & Gurubala Kotta & Anna Kovner & Richard J. Rosen & Nicholas K. Tabor, 2021. "Climate Change and Financial Stability," FEDS Notes 2021-03-19-3, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti & Jeffrey H. Harris & 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.).
- Celso Brunetti & Agostino Capponi & Christoph Frei, 2017. "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series 2017-083, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti & Bahattin Buyuksahin & Jeffrey H. Harris, 2015.
"Speculators, Prices and Market Volatility,"
Staff Working Papers
15-42, Bank of Canada.
- Brunetti, Celso & Büyükşahin, Bahattin & Harris, Jeffrey H., 2016. "Speculators, Prices, and Market Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1545-1574, October.
- Celso Brunetti & Jeffrey H. Harris & Shawn Mankad & George Michailidis, 2015.
"Interconnectedness in the Interbank Market,"
Finance and Economics Discussion Series
2015-90, Board of Governors of the Federal Reserve System (U.S.).
- Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn & Michailidis, George, 2019. "Interconnectedness in the interbank market," Journal of Financial Economics, Elsevier, vol. 133(2), pages 520-538.
- Gaetano Antinolfi & Celso Brunetti, 2013. "Economic volatility and financial markets: the case of mortgage-backed securities," Finance and Economics Discussion Series 2013-42, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti & David Reiffen, 2011.
"Commodity index trading and hedging costs,"
Finance and Economics Discussion Series
2011-57, Board of Governors of the Federal Reserve System (U.S.).
- Brunetti, Celso & Reiffen, David, 2014. "Commodity index trading and hedging costs," Journal of Financial Markets, Elsevier, vol. 21(C), pages 153-180.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2007.
"Markov switching GARCH models of currency turmoil in southeast Asia,"
International Finance Discussion Papers
889, Board of Governors of the Federal Reserve System (U.S.).
- Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008. "Markov switching GARCH models of currency turmoil in Southeast Asia," Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
- Alessio Caldarera & Celso Brunetti, 2005.
"Asset Prices and Asset Correlations in Illiquid Markets,"
2005 Meeting Papers
288, Society for Economic Dynamics.
- Celso Brunetti & Alessio Caldarera, 2006. "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006 331, Society for Computational Economics.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003.
"Markov Switching Garch Models of Currency Crises in Southeast Asia,"
PIER Working Paper Archive
03-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
repec:qmw:qmwecw:wp408 is not listed on IDEAS
Articles
- Lada Adamic & Celso Brunetti & Jeffrey H. Harris & Andrei Kirilenko, 2017. "Trading networks," Econometrics Journal, Royal Economic Society, vol. 20(3), pages 126-149, October.
- Brunetti, Celso & Büyükşahin, Bahattin & Harris, Jeffrey H., 2016.
"Speculators, Prices, and Market Volatility,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1545-1574, October.
- Celso Brunetti & Bahattin Buyuksahin & Jeffrey H. Harris, 2015. "Speculators, Prices and Market Volatility," Staff Working Papers 15-42, Bank of Canada.
- Brunetti, Celso & Reiffen, David, 2014.
"Commodity index trading and hedging costs,"
Journal of Financial Markets, Elsevier, vol. 21(C), pages 153-180.
- Celso Brunetti & David Reiffen, 2011. "Commodity index trading and hedging costs," Finance and Economics Discussion Series 2011-57, Board of Governors of the Federal Reserve System (U.S.).
- Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson, 2013. "OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Celso Brunetti, Bahattin Buyuksahin, and Jeffrey H. Harris, 2013. "Herding and Speculation in the Crude Oil Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011. "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2053-2083.
- Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008.
"Markov switching GARCH models of currency turmoil in Southeast Asia,"
Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
- Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.).
- Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
- Brunetti, Celso & Gilbert, Christopher L., 1995. "Metals price volatility, 1972-1995," Resources Policy, Elsevier, vol. 21(4), pages 237-254, December.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-BAN: Banking (4) 2016-03-06 2017-08-27 2018-09-24 2022-08-15
- NEP-RMG: Risk Management (4) 2006-07-15 2007-04-28 2017-08-27 2018-09-24
- NEP-FMK: Financial Markets (3) 2006-07-15 2015-12-01 2017-08-27
- NEP-ECM: Econometrics (2) 2000-01-07 2007-04-28
- NEP-ENV: Environmental Economics (2) 2021-03-29 2022-08-15
- NEP-ETS: Econometric Time Series (2) 2000-01-07 2007-04-28
- NEP-MAC: Macroeconomics (2) 2007-04-28 2016-03-06
- NEP-MST: Market Microstructure (2) 2015-12-01 2021-06-28
- NEP-NET: Network Economics (2) 2016-03-06 2021-06-28
- NEP-CFN: Corporate Finance (1) 2006-07-15
- NEP-ENE: Energy Economics (1) 2022-08-15
- NEP-FDG: Financial Development & Growth (1) 2022-08-15
- NEP-HME: Heterodox Microeconomics (1) 2021-03-29
- NEP-IFN: International Finance (1) 2007-04-28
- NEP-MON: Monetary Economics (1) 2016-03-06
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