Details about Celso Brunetti

Access statistics for papers by Celso Brunetti.

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

Short-id: pbr67

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.)
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.) View citations (1)
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2023)
   Working Papers, CEPII research center (2023)
   Working Papers, HAL (2023)

2023

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

2022

5. 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.) View citations (5)
   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) (2024)
6. Reasons Behind Words: Cause and Consequences of OPEC Narratives
   Post-Print, HAL

2021

7. Climate Change and Financial Stability
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
8. Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2018

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

2017

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

2015

11. Interconnectedness in the Interbank Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
    See also Journal Article Interconnectedness in the interbank market, Journal of Financial Economics, Elsevier (2019) View citations (77) (2019)
12. Speculators, Prices and Market Volatility
    Staff Working Papers, Bank of Canada View citations (13)
    See also Journal Article Speculators, Prices, and Market Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2016) View citations (65) (2016)

2013

13. 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.)
    See also Journal Article Economic volatility and financial markets: The case of mortgage‐backed securities, Financial Markets, Institutions & Instruments, John Wiley & Sons (2019) (2019)

2011

14. Commodity index trading and hedging costs
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
    See also Journal Article Commodity index trading and hedging costs, Journal of Financial Markets, Elsevier (2014) View citations (44) (2014)

2007

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

2006

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

2003

17. 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 View citations (9)

1999

18. Bivariate FIGARCH and Fractional Cointegration
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
    See also Journal Article Bivariate FIGARCH and fractional cointegration, Journal of Empirical Finance, Elsevier (2000) View citations (67) (2000)

1998

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

1996

20. Are Metals Prices Becoming More Volatile?
    Working Papers, Queen Mary University of London, School of Economics and Finance 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
   See also Working Paper Climate-related Financial Stability Risks for the United States: Methods and Applications, Finance and Economics Discussion Series (2022) View citations (5) (2022)
2. Crude Oil Price Movements and Institutional Traders
   Commodities, 2024, 3, (1), 1-23

2023

3. Networks, interconnectedness, and interbank information asymmetry
   Journal of Financial Stability, 2023, 67, (C) View citations (2)

2022

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

2020

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

2019

8. Economic volatility and financial markets: The case of mortgage‐backed securities
   Financial Markets, Institutions & Instruments, 2019, 28, (2), 85-113
   See also Working Paper Economic volatility and financial markets: the case of mortgage-backed securities, Finance and Economics Discussion Series (2013) (2013)
9. Interconnectedness in the interbank market
   Journal of Financial Economics, 2019, 133, (2), 520-538 View citations (77)
   See also Working Paper Interconnectedness in the Interbank Market, Finance and Economics Discussion Series (2015) View citations (13) (2015)

2017

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

2016

11. Speculators, Prices, and Market Volatility
    Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1545-1574 View citations (65)
    See also Working Paper Speculators, Prices and Market Volatility, Staff Working Papers (2015) View citations (13) (2015)

2014

12. Commodity index trading and hedging costs
    Journal of Financial Markets, 2014, 21, (C), 153-180 View citations (44)
    See also Working Paper Commodity index trading and hedging costs, Finance and Economics Discussion Series (2011) View citations (13) (2011)

2013

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

2011

16. Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis
    The Review of Financial Studies, 2011, 24, (6), 2053-2083 View citations (84)

2008

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

2000

18. Bivariate FIGARCH and fractional cointegration
    Journal of Empirical Finance, 2000, 7, (5), 509-530 View citations (67)
    See also Working Paper Bivariate FIGARCH and Fractional Cointegration, Working Papers (1999) View citations (1) (1999)

1995

19. Metals price volatility, 1972-1995
    Resources Policy, 1995, 21, (4), 237-254 View citations (32)