Details about Jean-Sebastien Fontaine

Access statistics for papers by Jean-Sebastien Fontaine.

Last updated 2023-05-09. Update your information in the RePEc Author Service.

Short-id: pfo255

Working Papers

2025

1. La politique monétaire, les taux d’intérêt et le dollar canadien
   Staff Analytical Notes, Bank of Canada
2. Monetary policy, interest rates and the Canadian dollar
   Staff Analytical Notes, Bank of Canada
3. Will Asset Managers Dash for Cash? Implications for Central Banks
   Discussion Papers, Bank of Canada

2023

4. It takes a panel to predict the future: What the stock market says about future economic growth in Canada
   Staff Analytical Notes, Bank of Canada

2022

5. Real Exchange Rate Decompositions
   Discussion Papers, Bank of Canada

2021

6. COVID-19 Crisis: Lessons Learned for Future Policy Research
   Discussion Papers, Bank of Canada View citations (7)
7. Debt-Secular Economic Changes and Bond Yields
   Staff Working Papers, Bank of Canada View citations (1)
8. Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios
   Staff Analytical Notes, Bank of Canada
9. What cured the TSX Equity index after COVID-19?
   Staff Analytical Notes, Bank of Canada

2020

10. COVID-19 and bond market liquidity: alert, isolation and recovery
    Staff Analytical Notes, Bank of Canada View citations (7)
11. Canadian stock market since COVID‑19: Why a V-shaped price recovery?
    Staff Analytical Notes, Bank of Canada View citations (1)
12. Contagion in Dealer Networks
    Staff Working Papers, Bank of Canada View citations (1)
13. Will exchange-traded funds shape the future of bond dealing?
    Staff Analytical Notes, Bank of Canada

2019

14. Price Caps in Canadian Bond Borrowing Markets
    Staff Analytical Notes, Bank of Canada View citations (3)
15. Prix plafonds sur les marchés canadiens des emprunts d’obligations
    Staff Analytical Notes, Bank of Canada
16. Relative Value of Government of Canada Bonds
    Staff Analytical Notes, Bank of Canada
17. The Secular Decline of Forecasted Interest Rates
    Staff Analytical Notes, Bank of Canada

2018

18. The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
    Staff Analytical Notes, Bank of Canada
19. 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

20. Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
    Staff Analytical Notes, Bank of Canada View citations (3)
21. Measuring Limits of Arbitrage in Fixed-Income Markets
    Staff Working Papers, Bank of Canada View citations (6)
    See also Journal Article MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS, Journal of Financial Research, Southern Finance Association (2019) View citations (2) (2019)
22. Repo Market Functioning when the Interest Rate Is Low or Negative
    Discussion Papers, Bank of Canada View citations (7)
23. The Share of Systemic Variations in the Canadian Dollar—Part II
    Staff Analytical Notes, Bank of Canada View citations (1)
24. What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
    Staff Working Papers, Bank of Canada View citations (4)

2016

25. 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 (6)
26. What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
    Staff Working Papers, Bank of Canada View citations (7)

2015

27. Foreign Flows and Their Effects on Government of Canada Yields
    Staff Analytical Notes, Bank of Canada
28. Tractable Term Structure Models
    Staff Working Papers, Bank of Canada View citations (7)

2014

29. Bond Risk Premia and Gaussian Term Structure Models
    Staff Working Papers, Bank of Canada View citations (3)

2012

30. Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    Staff Working Papers, Bank of Canada
31. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada View citations (4)
32. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada View citations (7)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) View citations (1)
    See also Journal Article Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty, Review of Finance, European Finance Association (2014) View citations (21) (2014)
33. When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
    Staff Working Papers, Bank of Canada View citations (2)

2009

34. Bond Liquidity Premia
    Staff Working Papers, Bank of Canada View citations (39)
    See also Journal Article Bond Liquidity Premia, The Review of Financial Studies, Society for Financial Studies (2012) View citations (109) (2012)
35. Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    Staff Working Papers, Bank of Canada

Journal Articles

2021

1. What model for the target rate
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (1), 23

2019

2. MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS
   Journal of Financial Research, 2019, 42, (3), 525-552 View citations (2)
   See also Working Paper Measuring Limits of Arbitrage in Fixed-Income Markets, Staff Working Papers (2017) View citations (6) (2017)

2017

3. Implied volatility and skewness surface
   Review of Derivatives Research, 2017, 20, (2), 167-202 View citations (1)
4. Unconventional Monetary Policy: The Perspective of a Small Open Economy?
   Bank of Canada Review, 2017, 2017, (Spring), 19-30 View citations (5)

2014

5. Non-Markov Gaussian Term Structure Models: The Case of Inflation
   Review of Finance, 2014, 18, (5), 1953-2001 View citations (8)
6. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
   Review of Finance, 2014, 18, (1), 219-269 View citations (21)
   See also Working Paper Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, Staff Working Papers (2012) View citations (7) (2012)

2012

7. Access, Competition and Risk in Centrally Cleared Markets
   Bank of Canada Review, 2012, 2012, (Autumn), 14-22 View citations (8)
   Also in Bank of Canada Review, 2012, 2012, (Autumn), 3-13 (2012) View citations (4)
8. Bond Liquidity Premia
   The Review of Financial Studies, 2012, 25, (4), 1207-1254 View citations (109)
   See also Working Paper Bond Liquidity Premia, Staff Working Papers (2009) View citations (39) (2009)