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.


Senior Research Advisor
Financial Markets
Market Risks and Vulnerabilities

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


Contagion in Dealer Networks

Staff Working Paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton
Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form.

Relative Value of Government of Canada Bonds

Staff Analytical Note 2019-23 Jean-Sébastien Fontaine, Jabir Sandhu, Adrian Walton
Government of Canada bonds in circulation that promise very similar payoffs can have different prices. We study the reason for these differences. Bonds that trade more often and earn high rental income in the repurchase agreement (repo) market tend to have higher prices. Bonds with longer tenors and times to maturity tend to have lower prices. This contrast between cheap and expensive bonds is important because trading volume and rental income can change rapidly, unlike tenor and time to maturity, which are stable.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G10, G11, G12, G2, G23, G3, G32

Price Caps in Canadian Bond Borrowing Markets

Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets JEL Code(s): G, G1, G10, G12

The Secular Decline of Forecasted Interest Rates

Staff Analytical Note 2019-1 Bruno Feunou, Jean-Sébastien Fontaine
Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G1, G12

The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility

We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.

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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)

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