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Details about Celso Brunetti

Homepage:http://www.federalreserve.gov/econresdata/celso-brunetti.htm
Phone:202 542 3134
Postal address:Federal Reserve Board
Workplace:Carey Business School, Johns Hopkins University, (more information at EDIRC)
Commodity Futures Trading Commission (CFTC), Government of the United States, (more information at EDIRC)
Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC)

Access statistics for papers by Celso Brunetti.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pbr67


Jump to Journal Articles

Working Papers

2024

  1. Interconnectedness in the Corporate Bond Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. Reasons Behind Words: OPEC Narratives and the Oil Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    Also in Working Papers, CEPII research center (2023) Downloads
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2023) Downloads
    Working Papers, HAL (2023) Downloads

2023

  1. Analyzing State Resilience to Weather and Climate Disasters
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. Measuring Interest Rate Risk Management by Financial Institutions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2022

  1. Climate-related Financial Stability Risks for the United States: Methods and Applications
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article Climate-Related Financial Stability Risks for the United States: Methods and Applications, Economic Policy Review, Federal Reserve Bank of New York (2024) Downloads (2024)
  2. Reasons Behind Words: Cause and Consequences of OPEC Narratives
    Post-Print, HAL

2021

  1. Climate Change and Financial Stability
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (6)
  2. Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2018

  1. Bank Holdings and Systemic Risk
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2017

  1. Managing Counterparty Risk in OTC Markets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads

2015

  1. Interconnectedness in the Interbank Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (13)
    See also Journal Article Interconnectedness in the interbank market, Journal of Financial Economics, Elsevier (2019) Downloads View citations (68) (2019)
  2. Speculators, Prices and Market Volatility
    Staff Working Papers, Bank of Canada Downloads View citations (13)
    See also Journal Article Speculators, Prices, and Market Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2016) Downloads View citations (63) (2016)

2013

  1. Economic volatility and financial markets: the case of mortgage-backed securities
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article Economic volatility and financial markets: The case of mortgage‐backed securities, Financial Markets, Institutions & Instruments, John Wiley & Sons (2019) Downloads (2019)

2011

  1. Commodity index trading and hedging costs
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (13)
    See also Journal Article Commodity index trading and hedging costs, Journal of Financial Markets, Elsevier (2014) Downloads View citations (41) (2014)

2007

  1. Markov switching GARCH models of currency turmoil in southeast Asia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)
    See also Journal Article Markov switching GARCH models of currency turmoil in Southeast Asia, Emerging Markets Review, Elsevier (2008) Downloads View citations (25) (2008)

2006

  1. Asset Prices and asset Correlations in Illiquid Markets
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (12)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (1)

2003

  1. Markov Switching Garch Models of Currency Crises in Southeast Asia
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (9)

1999

  1. Bivariate FIGARCH and Fractional Cointegration
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    See also Journal Article Bivariate FIGARCH and fractional cointegration, Journal of Empirical Finance, Elsevier (2000) Downloads View citations (66) (2000)

1998

  1. A Bivariate FIGARCH Model of Crude Oil Price Volatility
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

1996

  1. Are Metals Prices Becoming More Volatile?
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)

Journal Articles

2024

  1. Climate-Related Financial Stability Risks for the United States: Methods and Applications
    Economic Policy Review, 2024, 30, (1), 1-37 Downloads
    See also Working Paper Climate-related Financial Stability Risks for the United States: Methods and Applications, Finance and Economics Discussion Series (2022) Downloads View citations (4) (2022)
  2. Crude Oil Price Movements and Institutional Traders
    Commodities, 2024, 3, (1), 1-23 Downloads

2023

  1. Networks, interconnectedness, and interbank information asymmetry
    Journal of Financial Stability, 2023, 67, (C) Downloads View citations (1)

2022

  1. Counterparty Risk in Over-the-Counter Markets
    Journal of Financial and Quantitative Analysis, 2022, 57, (3), 1058-1082 Downloads
  2. Sidedness in the interbank market
    Journal of Financial Markets, 2022, 59, (PA) Downloads View citations (2)
  3. The urgency to borrow in the interbank market
    Economics Letters, 2022, 221, (C) Downloads View citations (1)

2020

  1. High frequency traders and the price process
    Journal of Econometrics, 2020, 217, (1), 20-45 Downloads View citations (2)

2019

  1. Economic volatility and financial markets: The case of mortgage‐backed securities
    Financial Markets, Institutions & Instruments, 2019, 28, (2), 85-113 Downloads
    See also Working Paper Economic volatility and financial markets: the case of mortgage-backed securities, Finance and Economics Discussion Series (2013) Downloads (2013)
  2. Interconnectedness in the interbank market
    Journal of Financial Economics, 2019, 133, (2), 520-538 Downloads View citations (68)
    See also Working Paper Interconnectedness in the Interbank Market, Finance and Economics Discussion Series (2015) Downloads View citations (13) (2015)

2017

  1. Trading networks
    Econometrics Journal, 2017, 20, (3), S126-S149 Downloads View citations (9)

2016

  1. Speculators, Prices, and Market Volatility
    Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1545-1574 Downloads View citations (63)
    See also Working Paper Speculators, Prices and Market Volatility, Staff Working Papers (2015) Downloads View citations (13) (2015)

2014

  1. Commodity index trading and hedging costs
    Journal of Financial Markets, 2014, 21, (C), 153-180 Downloads View citations (41)
    See also Working Paper Commodity index trading and hedging costs, Finance and Economics Discussion Series (2011) Downloads View citations (13) (2011)

2013

  1. Herding and Speculation in the Crude Oil Market
    The Energy Journal, 2013, 34, (3), 83-104 Downloads
    Also in The Energy Journal, 2013, Volume 34, (Number 3) (2013) Downloads View citations (10)
  2. OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil
    The Energy Journal, 2013, Volume 34, (Number 4) Downloads View citations (5)
  3. OPEC “Fair Price†Pronouncements and the Market Price of Crude Oil
    The Energy Journal, 2013, 34, (4), 79-108 Downloads

2011

  1. Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis
    The Review of Financial Studies, 2011, 24, (6), 2053-2083 Downloads View citations (80)

2008

  1. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 Downloads View citations (25)
    See also Working Paper Markov switching GARCH models of currency turmoil in southeast Asia, International Finance Discussion Papers (2007) Downloads View citations (11) (2007)

2000

  1. Bivariate FIGARCH and fractional cointegration
    Journal of Empirical Finance, 2000, 7, (5), 509-530 Downloads View citations (66)
    See also Working Paper Bivariate FIGARCH and Fractional Cointegration, Working Papers (1999) Downloads View citations (1) (1999)

1995

  1. Metals price volatility, 1972-1995
    Resources Policy, 1995, 21, (4), 237-254 Downloads View citations (32)
 
Page updated 2024-12-24