Jean-Sébastien Fontaine

Senior Research Advisor

Jean-Sébastien is a Senior 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

Senior Research Advisor
Financial Markets
Market Risks and Vulnerabilities

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


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

Staff Analytical Note 2018-13 Guillaume Nolin, James Kyeong, Jean-Sébastien Fontaine
We draw a parallel between the dramatic increases of systematic variations in exchange rates and international bank lending. We find that when a country’s currency has a larger share of systematic variations, lending flows by international banks to that country become more sensitive to global lending - they also become more systematic. This parallel is particularly prevalent for large commodity exporters, including Canada. Global financial intermediation may open a new channel between the real economy and exchange rates.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

Which Model to Forecast the Target Rate?

Staff Working Paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43

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.

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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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