7
H index
3
i10 index
265
Citations
Jean-Sebastien Fontaine : Citation Profile
Bank of Canada | RESEARCH PRODUCTION: 10 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2009 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Sebastien Fontaine. | Is cited by:
| Cites to:
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Main data
Where Jean-Sebastien Fontaine has published?
| Journals with more than one article published | # docs |
|---|---|
| Bank of Canada Review | 3 |
| Review of Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Analytical Notes / Bank of Canada | 18 |
| Staff Working Papers / Bank of Canada | 14 |
| Discussion Papers / Bank of Canada | 5 |
Recent works citing Jean-Sebastien Fontaine (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada. (2024). Feunou, Bruno ; Tarshi, Zabi. In: Discussion Papers. RePEc:bca:bocadp:24-09. Full description at Econpapers || Download paper |
| 2024 | U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields. (2024). Sekkel, Rodrigo ; Feunou, Bruno ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Staff Working Papers. RePEc:bca:bocawp:24-12. Full description at Econpapers || Download paper |
| 2025 | Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets. (2025). Cimon, David ; Brolley, Michael. In: Staff Working Papers. RePEc:bca:bocawp:25-2. Full description at Econpapers || Download paper |
| 2025 | Crisis facilities as a source of public information. (2025). Ergun, Lerby. In: Staff Analytical Notes. RePEc:bca:bocsan:25-7. Full description at Econpapers || Download paper |
| 2025 | What’s the Melting Pot Worth? Multiculturalism and House Prices. (2025). Cho, Rachel ; Schrder, Max ; Nguyen, Huyen ; McGowan, Danny ; Grtz, Christoph ; Farag, Hisham. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11905. Full description at Econpapers || Download paper |
| 2024 | Systematic staleness. (2024). Reno, Roberto ; Bandi, Federico M ; Pirino, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385. Full description at Econpapers || Download paper |
| 2025 | The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143. Full description at Econpapers || Download paper |
| 2025 | Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21. Full description at Econpapers || Download paper |
| 2024 | Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691. Full description at Econpapers || Download paper |
| 2025 | Quantitative easing and the supply of safe assets: Evidence from international bond safety premia. (2025). Zhang, Xin ; Mirkov, Nikola N. In: Journal of International Economics. RePEc:eee:inecon:v:157:y:2025:i:c:s0022199625001035. Full description at Econpapers || Download paper |
| 2024 | Central bank liquidity facilities and market making. (2024). Cimon, David ; Walton, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000724. Full description at Econpapers || Download paper |
| 2024 | U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K.. (2024). Feunou, Bruno ; Sekkel, Rodrigo ; Nongni-Donfack, Morvan ; Xing, Bingxin Ann. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624001845. Full description at Econpapers || Download paper |
| 2025 | A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile. (2025). Romero, Damian ; Ceballos, Luis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002213. Full description at Econpapers || Download paper |
| 2024 | Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Hong, Zhiwu ; Lin, Mucai ; Su, GE. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615. Full description at Econpapers || Download paper |
| 2024 | Sequential learning and economic benefits from dynamic term structure models. (2024). Dubiel-Teleszynski, Tomasz ; Karouzakis, Nikolaos ; Kalogeropoulos, Konstantinos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:123659. Full description at Econpapers || Download paper |
| 2025 | What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y. Full description at Econpapers || Download paper |
| 2025 | The Impact of COVID-19 on Italian Sovereign Bond Market Quality. (2025). Ferrara, Gerardo ; Ren, Roberto ; Flora, Maria. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:67:y:2025:i:1:d:10.1007_s10693-024-00437-7. Full description at Econpapers || Download paper |
| 2025 | Tax Incentives and the Cost of Sustainable Debt: Evidence from Thailand€™s ESG Fund Policy. (2025). Saengchote, Kanis ; Daengnimvikul, Phanjarat. In: PIER Discussion Papers. RePEc:pui:dpaper:241. Full description at Econpapers || Download paper |
| 2025 | Collateral choice. (2025). Ballensiefen, Benedikt Fabian. In: CFR Working Papers. RePEc:zbw:cfrwps:319642. Full description at Econpapers || Download paper |
| 2025 | Whats the melting pot worth? Multiculturalism and house prices. (2025). Görtz, Christoph ; Schroeder, Max ; Grtz, Christoph ; Farag, Hisham ; Cho, Rachel ; Nguyen, Huyen ; McGowan, Danny. In: IWH Discussion Papers. RePEc:zbw:iwhdps:319914. Full description at Econpapers || Download paper |
Works by Jean-Sebastien Fontaine:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | Access, Competition and Risk in Centrally Cleared Markets In: Bank of Canada Review. [Full Text][Citation analysis] | article | 7 |
| 2012 | Access, Competition and Risk in Centrally Cleared Markets.(2012) In: Bank of Canada Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | Unconventional Monetary Policy: The Perspective of a Small Open Economy? In: Bank of Canada Review. [Full Text][Citation analysis] | article | 5 |
| 2017 | Repo Market Functioning when the Interest Rate Is Low or Negative In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | COVID-19 Crisis: Lessons Learned for Future Policy Research In: Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2022 | Real Exchange Rate Decompositions In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Will Asset Managers Dash for Cash? Implications for Central Banks In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The Dealer-to-Client Repo Market: A Buoy on a Swaying Sea In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Bond Liquidity Premia In: Staff Working Papers. [Full Text][Citation analysis] | paper | 146 |
| 2012 | Bond Liquidity Premia.(2012) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 146 | article | |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 28 |
| 2011 | Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2014 | Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2012 | When Lower Risk Increases Profit: Competition and Control of a Central Counterparty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2015 | Tractable Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2016 | What Fed Funds Futures Tell Us About Monetary Policy Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2017 | Measuring Limits of Arbitrage in Fixed-Income Markets In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2019 | MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS.(2019) In: Journal of Financial Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | What Drives Episodes of Settlement Fails in the Government of Canada Bond Market? In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Contagion in Dealer Networks In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Debt-Secular Economic Changes and Bond Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Foreign Flows and Their Effects on Government of Canada Yields In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2016 | The Share of Systematic Variations in the Canadian Dollar—Part I In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 2 |
| 2018 | The Share of Systematic Variations in the Canadian Dollar—Part III.(2018) In: Staff Analytical Notes. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2017 | The Share of Systemic Variations in the Canadian Dollar—Part II In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 3 |
| 2018 | The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Price Caps in Canadian Bond Borrowing Markets In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Relative Value of Government of Canada Bonds In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Prix plafonds sur les marchés canadiens des emprunts d’obligations In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2020 | COVID-19 and bond market liquidity: alert, isolation and recovery In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Will exchange-traded funds shape the future of bond dealing? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Canadian stock market since COVID‑19: Why a V-shaped price recovery? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | What cured the TSX Equity index after COVID-19? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2023 | It takes a panel to predict the future: What the stock market says about future economic growth in Canada In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Monetary policy, interest rates and the Canadian dollar In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2025 | La politique monétaire, les taux d’intérêt et le dollar canadien In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | What model for the target rate In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bond Risk Premia and Gaussian Term Structure Models In: Management Science. [Full Text][Citation analysis] | article | 7 |
| 2017 | Implied volatility and skewness surface In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2014 | Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance. [Full Text][Citation analysis] | article | 5 |
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