Jean-Sébastien Fontaine

Research Advisor

Jean-Sébastien is a Research Advisor in the financial market department. His interests lie at the juncture between asset pricing, macroeconomics and econometrics. Specific topics include the role of funding liquidity in asset pricing; macro-finance models of the term structure of interest rates; and the information content of option prices. Jean-Sébastien holds a Ph. D. degree from the Université de Montréal and his research has been published in the Review of Financial Studies, Management Science, and the Review of Finance.


Jean-Sébastien Fontaine

Research Advisor
Financial Markets
Market Risks and Vulnerabilities

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9


What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?

We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails.

Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?

Staff Analytical Note 2017-23 Jean-Sébastien Fontaine, Jeffrey Gao, Jabir Sandhu, Kobe Wu
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Debt Management, Financial markets JEL Code(s): G, G1, G12, G14, G2, G23, G3, G32

Measuring Limits of Arbitrage in Fixed-Income Markets

Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.

May 11, 2017 Unconventional Monetary Policy: The Perspective of a Small Open Economy

How do unconventional monetary policies like quantitative easing and negative interest rates affect domestic financial conditions and the broader economy in small open econo-mies, such as Canada? These policies are effective in depreciating the exchange rate in small open economies, while lower interest rates are also passed through to the economy, albeit only partially. When conventional monetary policy is close to its limits, fiscal policy may be a more important complement to monetary policy in a small economy, particularly if global demand for safe assets compresses long-term interest rates.

The Share of Systematic Variations in the Canadian Dollar—Part II

Staff Analytical Note 2017-1 Jean-Sébastien Fontaine, Guillaume Nolin
This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

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Other Publications

  • "Bond Liquidity Premia"
    (with R. Garcia), Review of Financial Studies. (2012)
  • "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty",
    (with B. Fenou, A. Taamouti and R. Tédongap), Review of Finance, Volume 18, Issue 1, 219-269.
  • "Non-Markov Gaussian Term Structure Models : The Case of Inflation",
    (with B. Fenou), Review of Finance. (2014)
  • "Bond Risk Premia and Gaussian Term Structure Models",
    (with B. Feunou), Management Science. (Forthcoming)
See my SSRN page


  • Ph.D. Sciences Économiques, Université de Montréal (2008)
  • B.Com, Joint Honours in Economics and Finance, McGill University (1999)

Research Interests

  • Funding Liquidity
  • Interest Rate Models
  • Options


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