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Details about Jean-Sebastien Fontaine

E-mail:
Homepage:http://www.jean-sebastienfontaine.com
Workplace:Bank of Canada, (more information at EDIRC)

Access statistics for papers by Jean-Sebastien Fontaine.

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

Short-id: pfo255


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Working Papers

2020

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

2019

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

2018

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

2017

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

2016

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

2015

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

2014

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

2012

  1. Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    Staff Working Papers, Bank of Canada Downloads
  2. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada Downloads View citations (3)
  3. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada Downloads View citations (4)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads

    See also Journal Article in Review of Finance (2014)
  4. When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
    Staff Working Papers, Bank of Canada Downloads View citations (2)

2009

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

Journal Articles

2019

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

2017

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

2014

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

2012

  1. Access, Competition and Risk in Centrally Cleared Markets
    Bank of Canada Review, 2012, 2012, (Autumn), 3-13 Downloads View citations (1)
    Also in Bank of Canada Review, 2012, 2012, (Autumn), 14-22 (2012) Downloads View citations (5)
  2. Bond Liquidity Premia
    Review of Financial Studies, 2012, 25, (4), 1207-1254 Downloads View citations (70)
    See also Working Paper (2009)
 
Page updated 2020-10-21