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Photo of Celso Brunetti

Celso Brunetti

Economist

Risk Analysis Section

Research and Statistics

202-452-3134
celso.brunetti@frb.gov
Education
  • Ph.D., Economics, University of London, 1999

  • Current Research Topics

  • FInancial Networks
  • Hedge Funds and Commodity Index Traders
Fields of Interest

    • Economist

      Board of Governors of the Federal Reserve System

    • 2011 - present
  • Brunetti, Celso, and David A. 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, Roberto Mariano, Chiara Scotti, and Augustine Tan (2003). "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper 03-008. University of Pennsylvania Department of Economic.
  • Brunetti, Celso, Mario di Filippo, and Jeffrey H. Harris (2011). "Effects of Central Bank Intervention on the Interbank Market during the Subprime Crisis," Review of Financial Studies, vol. 24, no. 6, pp. 2053-2083.
  • Brunetti, Celso, and Peter M. Lildholdt (2007). "Time Series Modeling of Daily Log-Price Ranges for CHF/USD and USD/GBP," Journal of Derivatives, vol. 15, no. 2, pp. 39-59.
  • Brunetti, Celso, and Christopher L. Gilbert (2000). "Bivariate FIGARCH and Fractional Cointegration," Journal of Empirical Finance, vol. 7, no. 5, pp. 509-530.
  • Brunetti, Celso, and Christopher L. Gilbert (1995). "Metals Price Volatility, 1972-95," Resources Policy, vol. 21, no. 4, pp. 237-254.

  • 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

  • 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

  • conference

    July 2010

    Society for Computational Economics, University of London, London

    Speculation, Prices and Volatility

  • seminar

    March 2010

    Queen's University, Kingstone, Canada

    Speculation, Prices and Volatility

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Last update: May 21, 2012