Details about Jean-Sebastien Fontaine

Access statistics for papers by Jean-Sebastien Fontaine.

Last updated 2019-10-10. Update your information in the RePEc Author Service.

Short-id: pfo255

Working Papers

2020

1. COVID-19 and bond market liquidity: alert, isolation and recovery
   Staff Analytical Notes, Bank of Canada
2. Canadian stock market since COVID‑19: Why a V-shaped price recovery?
   Staff Analytical Notes, Bank of Canada
3. Contagion in Dealer Networks
   Staff Working Papers, Bank of Canada
4. Will exchange-traded funds shape the future of bond dealing?
   Staff Analytical Notes, Bank of Canada

2019

5. Price Caps in Canadian Bond Borrowing Markets
   Staff Analytical Notes, Bank of Canada View citations (2)
6. Prix plafonds sur les marchés canadiens des emprunts d’obligations
   Staff Analytical Notes, Bank of Canada
7. Relative Value of Government of Canada Bonds
   Staff Analytical Notes, Bank of Canada
8. The Secular Decline of Forecasted Interest Rates
   Staff Analytical Notes, Bank of Canada

2018

9. The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
   Staff Analytical Notes, Bank of Canada
10. The Share of Systematic Variations in the Canadian Dollar—Part III
    Staff Analytical Notes, Bank of Canada
    Also in Staff Analytical Notes, Bank of Canada (2016) View citations (4)

2017

11. Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
    Staff Analytical Notes, Bank of Canada View citations (3)
12. Measuring Limits of Arbitrage in Fixed-Income Markets
    Staff Working Papers, Bank of Canada View citations (6)
    See also Journal Article in Journal of Financial Research (2019)
13. Repo Market Functioning when the Interest Rate Is Low or Negative
    Discussion Papers, Bank of Canada View citations (6)
14. The Share of Systemic Variations in the Canadian Dollar—Part II
    Staff Analytical Notes, Bank of Canada View citations (1)
15. What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
    Staff Working Papers, Bank of Canada View citations (4)

2016

16. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
    CIRANO Working Papers, CIRANO View citations (2)
    Also in Staff Working Papers, Bank of Canada (2015) View citations (3)
17. What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
    Staff Working Papers, Bank of Canada View citations (4)

2015

18. Foreign Flows and Their Effects on Government of Canada Yields
    Staff Analytical Notes, Bank of Canada
19. Tractable Term-Structure Models and the Zero Lower Bound
    Staff Working Papers, Bank of Canada View citations (6)

2014

20. Bond Risk Premia and Gaussian Term Structure Models
    Staff Working Papers, Bank of Canada View citations (1)

2012

21. Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    Staff Working Papers, Bank of Canada
22. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada View citations (3)
23. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada View citations (4)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011)
    See also Journal Article in Review of Finance (2014)
24. When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
    Staff Working Papers, Bank of Canada View citations (2)

2009

25. Bond Liquidity Premia
    Staff Working Papers, Bank of Canada View citations (33)
    See also Journal Article in Review of Financial Studies (2012)
26. Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    Staff Working Papers, Bank of Canada

Journal Articles

2019

1. MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS
   Journal of Financial Research, 2019, 42, (3), 525-552
   See also Working Paper (2017)

2017

2. Implied volatility and skewness surface
   Review of Derivatives Research, 2017, 20, (2), 167-202 View citations (1)
3. Unconventional Monetary Policy: The Perspective of a Small Open Economy?
   Bank of Canada Review, 2017, 2017, (Spring), 19-30 View citations (2)

2014

4. Non-Markov Gaussian Term Structure Models: The Case of Inflation
   Review of Finance, 2014, 18, (5), 1953-2001 View citations (3)
5. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
   Review of Finance, 2014, 18, (1), 219-269 View citations (12)
   See also Working Paper (2012)

2012

6. Access, Competition and Risk in Centrally Cleared Markets
   Bank of Canada Review, 2012, 2012, (Autumn), 3-13 View citations (1)
   Also in Bank of Canada Review, 2012, 2012, (Autumn), 14-22 (2012) View citations (5)
7. Bond Liquidity Premia
   Review of Financial Studies, 2012, 25, (4), 1207-1254 View citations (70)
   See also Working Paper (2009)