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
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Working Papers
2022
- Real Exchange Rate Decompositions
Discussion Papers, Bank of Canada
2021
- COVID-19 Crisis: Lessons Learned for Future Policy Research
Discussion Papers, Bank of Canada View citations (3)
- Debt-Secular Economic Changes and Bond Yields
Staff Working Papers, Bank of Canada
- Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios
Staff Analytical Notes, Bank of Canada
- What cured the TSX Equity index after COVID-19?
Staff Analytical Notes, Bank of Canada
2020
- COVID-19 and bond market liquidity: alert, isolation and recovery
Staff Analytical Notes, Bank of Canada View citations (3)
- Canadian stock market since COVID‑19: Why a V-shaped price recovery?
Staff Analytical Notes, Bank of Canada View citations (1)
- Contagion in Dealer Networks
Staff Working Papers, Bank of Canada
- Will exchange-traded funds shape the future of bond dealing?
Staff Analytical Notes, Bank of Canada
2019
- Price Caps in Canadian Bond Borrowing Markets
Staff Analytical Notes, Bank of Canada View citations (3)
- Prix plafonds sur les marchés canadiens des emprunts d’obligations
Staff Analytical Notes, Bank of Canada
- Relative Value of Government of Canada Bonds
Staff Analytical Notes, Bank of Canada
- The Secular Decline of Forecasted Interest Rates
Staff Analytical Notes, Bank of Canada
2018
- The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
Staff Analytical Notes, Bank of Canada
- 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
- Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
Staff Analytical Notes, Bank of Canada View citations (3)
- 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)
- Repo Market Functioning when the Interest Rate Is Low or Negative
Discussion Papers, Bank of Canada View citations (7)
- The Share of Systemic Variations in the Canadian Dollar—Part II
Staff Analytical Notes, Bank of Canada View citations (1)
- What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?
Staff Working Papers, Bank of Canada View citations (4)
2016
- 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 (4)
- What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
Staff Working Papers, Bank of Canada View citations (6)
2015
- Foreign Flows and Their Effects on Government of Canada Yields
Staff Analytical Notes, Bank of Canada
- Tractable Term Structure Models
Staff Working Papers, Bank of Canada View citations (7)
2014
- Bond Risk Premia and Gaussian Term Structure Models
Staff Working Papers, Bank of Canada View citations (1)
2012
- Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
Staff Working Papers, Bank of Canada
- Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
Staff Working Papers, Bank of Canada View citations (3)
- 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) 
See also Journal Article in Review of Finance (2014)
- When Lower Risk Increases Profit: Competition and Control of a Central Counterparty
Staff Working Papers, Bank of Canada View citations (2)
2009
- Bond Liquidity Premia
Staff Working Papers, Bank of Canada View citations (38)
See also Journal Article in Review of Financial Studies (2012)
- Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Staff Working Papers, Bank of Canada
Journal Articles
2019
- MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS
Journal of Financial Research, 2019, 42, (3), 525-552 
See also Working Paper (2017)
2017
- Implied volatility and skewness surface
Review of Derivatives Research, 2017, 20, (2), 167-202 View citations (1)
- Unconventional Monetary Policy: The Perspective of a Small Open Economy?
Bank of Canada Review, 2017, 2017, (Spring), 19-30 View citations (4)
2014
- Non-Markov Gaussian Term Structure Models: The Case of Inflation
Review of Finance, 2014, 18, (5), 1953-2001 View citations (4)
- Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
Review of Finance, 2014, 18, (1), 219-269 View citations (13)
See also Working Paper (2012)
2012
- Access, Competition and Risk in Centrally Cleared Markets
Bank of Canada Review, 2012, 2012, (Autumn), 14-22 View citations (7)
Also in Bank of Canada Review, 2012, 2012, (Autumn), 3-13 (2012) View citations (3)
- Bond Liquidity Premia
Review of Financial Studies, 2012, 25, (4), 1207-1254 View citations (77)
See also Working Paper (2009)
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