Jean-Sébastien Fontaine - Latest

• 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 JEL Code(s): F, F3, F31 Research Theme(s): Financial markets and funds management, International markets and currencies, Structural challenges, International trade, finance and competitiveness
• June 9, 2016

  Securities Financing and Bond Market Liquidity

  Financial System Review - June 2016 Jean-Sébastien Fontaine, Corey Garriott, Kyle Gray

  This report investigates how the markets for repurchase agreements and securities-lending agreements support the liquidity of Canadian bond markets. It also discusses how recent regulatory changes, as well as low interest rates and settlement failures, are potentially affecting securities-financing markets and, as a result, bond market liquidity.

  Content Type(s): Publications, Financial System Review articles JEL Code(s): G, G1, G12, G2
• November 15, 2012

  Access, Competition and Risk in Centrally Cleared Markets

  Bank of Canada Review - Autumn 2012 Jean-Sébastien Fontaine, Héctor Pérez Saiz, Joshua Slive

  Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria.

  Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): G, G1, G18, G2, G21, L, L1, L13
• December 3, 2009

  Improving the Resilience of Core Funding Markets

  Financial System Review - December 2009 Jean-Sébastien Fontaine, Jack Selody, Carolyn A. Wilkins

  Content Type(s): Publications, Financial System Review articles