Jean-Sebastien Fontaine

Bank of Canada

Economist

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

http://www.jean-sebastienfontaine.com

SCHOLARLY PAPERS

13

DOWNLOADS
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3,292

SSRN CITATIONS
Rank 21,696

SSRN RANKINGS

Top 21,696

in Total Papers Citations

20

CROSSREF CITATIONS

19

Scholarly Papers (13)

1.

Bond Liquidity Premia

Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper
Number of pages: 60 Posted: 01 Mar 2007 Last Revised: 22 Nov 2012
Jean-Sebastien Fontaine and René Garcia
Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 1,219 (17,448)
Citation 18

Abstract:

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Bond Prices, Term Structure, Funding Liquidity

2.

The Equity Premium and The Volatility Spread: The Role of Risk-Neutral Skewness

Review of Derivatives Research, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 17 Nov 2008 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap
Bank of Canada, Bank of Canada and ESSEC Business School
Downloads 363 (87,758)
Citation 1

Abstract:

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Option Prices, Skewness, Volatility Spread, Risk Premium

3.

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Review of Finance (2014) 18 (1): 219-269.
Number of pages: 44 Posted: 15 Feb 2011 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine, Abderrahim Taamouti and Roméo Tédongap
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School
Downloads 306 (106,215)
Citation 1

Abstract:

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Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk

4.

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Number of pages: 55 Posted: 30 Jan 2015 Last Revised: 29 Oct 2016
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 289 (112,913)
Citation 6

Abstract:

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Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility

5.

Bond Risk Premia and Gaussian Term Structure Models

Management Science, 2018, 64(3), 1413-1439.
Number of pages: 63 Posted: 04 Sep 2013 Last Revised: 01 Jul 2018
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 241 (136,322)
Citation 3

Abstract:

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term structure models, bond risk premia, Markovian dynamics, Kalman filter

6.

Tractable Term Structure Models

Number of pages: 54 Posted: 22 Nov 2015 Last Revised: 01 Aug 2019
Bruno Feunou, Jean-Sebastien Fontaine, Anh Le and Christian T. Lundblad
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 184 (175,695)
Citation 1

Abstract:

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Term-Structure, Lower Bound, No-Arbitrage, Forecasting

7.

What do Fed Funds Futures tell us about Monetary Policy Uncertainty

Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 05 Jan 2017
Jean-Sebastien Fontaine
Bank of Canada
Downloads 174 (184,603)
Citation 2

Abstract:

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Interest Rates, Futures, Monetay Policy, Expectations

8.

Non-Markov Gaussian Term Structure Models: The Case of Inflation

Forthcoming in the Review of Finance
Number of pages: 56 Posted: 16 Oct 2012 Last Revised: 03 Apr 2014
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 172 (186,479)
Citation 3

Abstract:

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Markov, Term Structure, Inflation Risk Premium, Real Yields, Inflation Forecasts, Survey of Professional Forecasters

9.

Dealers' Competition and Control of a Central Counterparty: When Lower Risk Increases Profit

Number of pages: 39 Posted: 17 Mar 2012 Last Revised: 26 Jul 2013
Hector Perez Saiz, Jean-Sebastien Fontaine and Joshua Slive
Bank of Canada, Financial Stability Department, Financial Studies Division, Bank of Canada and Bank of Canada
Downloads 149 (210,581)
Citation 1

Abstract:

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Clearing, Central Counterparty, Default, Competition, membership requirements

10.

Which Model to Forecast the Target Rate?

Number of pages: 40 Posted: 02 Mar 2011 Last Revised: 16 Dec 2017
Bruno Feunou, Jean-Sebastien Fontaine and Jianjian Jin
Bank of Canada, Bank of Canada and Government of Canada - Bank of Canada
Downloads 85 (314,254)
Citation 1

Abstract:

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Monetary policy, Zero Lower Bound, Non-linear dynamics

11.

Measuring Limits of Arbitrage in Fixed-Income Markets

Number of pages: 45 Posted: 28 Sep 2018 Last Revised: 09 Aug 2019
Jean-Sebastien Fontaine and Guillaume Nolin
Bank of Canada and Bank of Canada
Downloads 57 (393,767)
Citation 5

Abstract:

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Limits of Arbitrage, Fixed-Income, Sovereign Bonds

12.

Long Run Impact of Macro News on Treasury Bond Yields

Number of pages: 39 Posted: 11 Nov 2019
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 35 (474,485)

Abstract:

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Term Structure, Macro-Finance, Variance Decomposition

13.

Secular Economic Changes and Bond Yields

Number of pages: 51 Posted: 10 Jan 2020 Last Revised: 12 Mar 2020
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 18 (569,251)

Abstract:

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Term Structure, Macro-Finance, Secular Changes