Jianjian Jin

Senior Analyst

Jianjian Jin is a Senior Analyst in the Research Division of the Funds Management and Banking Department at the Bank of Canada. His primary research interests are the impact of macroeconomy and unconventional central bank policy on returns in financial markets and investors’ asset allocation. He has also worked on topics such as stochastic volatility consumption-based asset pricing models, variance risk premium puzzles, etc. Jianjian received his Ph.D. in economics from Northwestern University.


Jianjian Jin

Senior Analyst
Funds Management and Banking

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


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

May 16, 2013 Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The Bank of Canada recently developed an asset-liability-matching model to aid in the management of Canada’s foreign exchange reserves. The model allows policy-makers at the Bank and the Department of Finance to analyze asset-allocation and funding-mix decisions by quantifying both the risk-return and liquidity trade-offs for the assets, as well as the risk-cost trade-offs of the funding liabilities.

Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

Staff Working Paper 2013-12 Jianjian Jin
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Economic models JEL Code(s): G, G1, G12, G17

See More


Other publications

Research Interests

  • Asset pricing
  • Macro-financial term structure modeling
  • Asset allocation


Follow the Bank