Jean-Sebastien Fontaine

Bank of Canada

Economist

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

http://www.jean-sebastienfontaine.com

SCHOLARLY PAPERS

17

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5,882

TOTAL CITATIONS
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Top 17,565

in Total Papers Citations

62

Scholarly Papers (17)

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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
Downloads 1,478 (28,147)
Citation 29

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Bond Prices, Term Structure, Funding Liquidity

2.

The Market for 0DTE: The Role of Liquidity Providers in Volatility Attenuation

Number of pages: 74 Posted: 03 Jul 2024 Last Revised: 23 Apr 2025
Greg Adams, Jean-Sebastien Fontaine and Chayawat Ornthanalai
Government of Canada - Bank of Canada, Bank of Canada and University of Toronto - Rotman School of Management
Downloads 686 (82,351)

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0DTE, Index Options, Volatility, Market Intermediaries, Intraday Hedging

3.

Tractable Term-Structure Models

Management Science 68(11):8411-8429.
Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 11 Jun 2024
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 486 (126,939)
Citation 4

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

4.

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 421 (150,533)
Citation 1

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Option Prices, Skewness, Volatility Spread, Risk Premium

5.

Intermediary Leverage Shocks and Funding Conditions

Journal of Finance, forthcoming.
Number of pages: 97 Posted: 11 Aug 2020 Last Revised: 10 Jun 2024
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal and Bank of Canada
Downloads 409 (155,576)
Citation 2

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Broker-dealers, Leverage, Asset pricing

6.

What do Bond Investors Learn from Macroeconomic News?

Number of pages: 76 Posted: 11 Nov 2019 Last Revised: 31 Oct 2024
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 383 (167,463)

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Term Structure, Macro-Finance, Variance Decomposition, Imperfect Information, Bayesian Learning

7.

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 357 (181,119)
Citation 3

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

8.

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 292 (224,908)
Citation 3

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

9.

What do Fed Funds Futures tell us about Monetary Policy Uncertainty

Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 13 Mar 2025
Jean-Sebastien Fontaine
Bank of Canada
Downloads 265 (248,494)
Citation 2

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Interest Rates, Futures, Monetay Policy, Expectations

10.

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 214 (306,611)
Citation 3

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

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 194 (336,116)
Citation 6

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Limits of Arbitrage, Fixed-Income, Sovereign Bonds

12.

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 186 (349,400)
Citation 2

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Clearing, Central Counterparty, Default, Competition, membership requirements

13.

Twin Stars: Neutral Rates and Currency Risk Premia

Number of pages: 62 Posted: 03 Jan 2025
Bruno Feunou, Jean-Sebastien Fontaine and Ingomar Krohn
Bank of Canada, Bank of Canada and Bank of Canada
Downloads 156 (407,564)

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Macro-Finance, Term Structure, Exchange Rates, Neutral Rates, Currency Risk Premia JEL codes: F31

14.

Secular Economic Changes and Bond Yields

Review of Economics and Statistics, Forthcoming
Number of pages: 62 Posted: 10 Jan 2020 Last Revised: 14 Sep 2021
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 137 (452,980)

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Term Structure, Macro-Finance, Secular Changes

15.

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 University Pension Plan
Downloads 124 (490,558)
Citation 1

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Monetary policy, Zero Lower Bound, Non-linear dynamics

16.

Contagion in Dealer Networks

Number of pages: 42 Posted: 25 Jun 2020
Jean-Sebastien Fontaine and Adrian Walton
Bank of Canada and Bank of Canada
Downloads 89 (620,386)

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Fixed-income Market, Dealer Network, Contagion

17.

Funding Risk, Market Liquidity, Market Volatility in the Cross-Section of Stocks

Number of pages: 41 Posted: 30 Jan 2015 Last Revised: 13 Mar 2025
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal and Bank of Canada
Downloads 5 (1,308,129)
Citation 6

Abstract:

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