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.

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Jean-Sébastien Fontaine

Research Advisor
Financial Markets
Market Risks and Vulnerabilities

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

Latest

11 May 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 Systemic 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

Repo Market Functioning when the Interest Rate Is Low or Negative

Staff Discussion Paper 2017-3 Jean-Sébastien Fontaine, James Hately, Adrian Walton
This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.

What Fed Funds Futures Tell Us About Monetary Policy Uncertainty

Staff Working Paper 2016-61 Jean-Sébastien Fontaine
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13

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

Staff Analytical Note 2016-15 Jean-Sébastien Fontaine, Guillaume Nolin
In this analytical note we show that the share of the systematic variations in the Canadian dollar has risen significantly in the past two decades. Systematic variations in the exchange rate are shared with other currencies. This parallels the equity market, where variations in the price of a given stock are shared with variations in the prices of other stocks.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

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Other

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

Education

  • 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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