Bio

Bruno Feunou Kamkui is a Director at the Bank of Canada’s Financial Markets Department. He previously worked at Duke University as a post-doc associate. He completed his Ph.D-Degree at the University of Montreal.

Research Field(s): Applied Econometrics Asset Pricing Empirical Finance Financial Economics Forecasting Term Structure Modelling Time Series

Staff research

Estimating the inflation risk premium

Staff analytical note 2025-9 Bruno Feunou, Gitanjali Kumar
Is there a risk of de-anchoring of inflation expectations in the near term? We estimate the inflation risk premium using traditional asset pricing models to answer this question. The risk of de-anchoring is elevated compared with the period before the COVID-19 pandemic and is higher in the United States than in Canada.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C58, G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures

The Neutral Interest Rate: Past, Present and Future

Staff discussion paper 2024-3 Matteo Cacciatore, Bruno Feunou, Galip Kemal Ozhan
The decline in safe real interest rates over the past three decades has reignited discussions on the neutral real interest rate, known as R*. We address the determinants and estimation methods of R*, as well as the factors influencing its decline and its future trajectory.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E4, E43, E5, E52, E6, E62 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Real economy and forecasting

U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields

Staff working paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel
Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies.
Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): E, E4, E43, E44, E47, G, G1, G14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness

Finding the balance—measuring risks to inflation and to GDP growth

Staff analytical note 2023-18 Bruno Feunou, James Kyeong
Using our new quantitative tool, we show how the risks to the inflation and growth outlooks have evolved over the course of 2023.
Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting

Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency

Staff discussion paper 2023-19 Chinara Azizova, Bruno Feunou, James Kyeong
This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting

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Bank publications

Bank of Canada Review articles

May 13, 2014

Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility

Bank of Canada Review - Spring 2014 Bo Young Chang, Bruno Feunou
Uncertainty surrounding the Bank of Canada’s future policy rates is measured using implied volatility computed from interest rate options and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following major policy actions taken by the Bank in response to the 2007–09 financial crisis. Findings also indicate that, on average, uncertainty decreases following the Bank’s policy rate announcements.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58

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Journal publications

Refereed journals