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Jean-Sebastien Fontaine

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Jean-Sébastien Fontaine & Hayden Ford & Adrian Walton, 2020. "COVID-19 and bond market liquidity: alert, isolation and recovery," Staff Analytical Notes 2020-14, Bank of Canada.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market

Working papers

  1. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.

    Cited by:

    1. Mongelli, Francesco Paolo & Pointner, Wolfgang & van den End, Jan Willem, 2022. "The effects of climate change on the natural rate of interest: a critical survey," Working Paper Series 2744, European Central Bank.

  2. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.

    Cited by:

    1. Yang Zhang & Lena Suchanek & Jonathan Swarbrick & Joel Wagner & Tudor Schlanger, 2021. "Sequencing Extended Monetary Policies at the Effective Lower Bound," Discussion Papers 2021-10, Bank of Canada.
    2. Michael Brolley & David Cimon, 2025. "Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets," Staff Working Papers 25-2, Bank of Canada.
    3. Guillaume Bédard-Pagé & Daniel Bolduc-Zuluaga & Annick Demers & Jean-Philippe Dion & Manu Pandey & Léanne Berger-Soucy & Adrian Walton, 2021. "COVID-19 crisis: Liquidity management at Canada’s largest public pension funds," Staff Analytical Notes 2021-11, Bank of Canada.
    4. David Cimon & Adrian Walton, 2022. "Central Bank Liquidity Facilities and Market Making," Staff Working Papers 22-9, Bank of Canada.
    5. Thiago Fauvrelle & Mathias Skrutkowski, 2023. "Collateral pledgeability and asset manager portfolio choices during redemption waves," Working Papers 58, European Stability Mechanism, revised 12 Dec 2023.

  3. Jean-Sébastien Fontaine & Hayden Ford & Adrian Walton, 2020. "COVID-19 and bond market liquidity: alert, isolation and recovery," Staff Analytical Notes 2020-14, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.
    2. Guillaume Bédard-Pagé & Daniel Bolduc-Zuluaga & Annick Demers & Jean-Philippe Dion & Manu Pandey & Léanne Berger-Soucy & Adrian Walton, 2021. "COVID-19 crisis: Liquidity management at Canada’s largest public pension funds," Staff Analytical Notes 2021-11, Bank of Canada.
    3. David Cimon & Adrian Walton, 2022. "Central Bank Liquidity Facilities and Market Making," Staff Working Papers 22-9, Bank of Canada.
    4. Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.

  4. Jean-Sébastien Fontaine & Guillaume Ouellet Leblanc & Ryan Shotlander, 2020. "Canadian stock market since COVID‑19: Why a V-shaped price recovery?," Staff Analytical Notes 2020-22, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.

  5. Jean-Sébastien Fontaine & Adrian Walton, 2020. "Contagion in Dealer Networks," Staff Working Papers 20-1, Bank of Canada.

    Cited by:

    1. Di Gangi, Domenico & Lazarov, Vladimir & Mankodi, Aakash & Silvestri, Laura, 2022. "Links between government bond and futures markets: dealer-client relationships and price discovery in the UK," Bank of England working papers 991, Bank of England.

  6. Léanne Berger-Soucy & Jean-Sébastien Fontaine & Adrian Walton, 2019. "Price Caps in Canadian Bond Borrowing Markets," Staff Analytical Notes 2019-2, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Jabir Sandhu & Adrian Walton, 2019. "Relative Value of Government of Canada Bonds," Staff Analytical Notes 2019-23, Bank of Canada.
    2. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    3. Jean-Sébastien Fontaine & Adrian Walton, 2020. "Contagion in Dealer Networks," Staff Working Papers 20-1, Bank of Canada.

  7. Jean-Sébastien Fontaine & James Hately & Adrian Walton, 2017. "Repo Market Functioning when the Interest Rate Is Low or Negative," Discussion Papers 17-3, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & James Pinnington & Adrian Walton, 2017. "What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?," Staff Working Papers 17-54, Bank of Canada.
    2. Léanne Berger-Soucy & Jean-Sébastien Fontaine & Adrian Walton, 2019. "Price Caps in Canadian Bond Borrowing Markets," Staff Analytical Notes 2019-2, Bank of Canada.
    3. Léanne Berger-Soucy & Jean-Sébastien Fontaine & Adrian Walton, 2019. "Prix plafonds sur les marchés canadiens des emprunts d’obligations," Staff Analytical Notes 2019-2-fr, Bank of Canada.
    4. Christopher S. Sutherland, 2017. "What Explains Month-End Funding Pressure in Canada?," Discussion Papers 17-9, Bank of Canada.
    5. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
    6. Narayan Bulusu & Sermin Gungor, 2021. "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(2), pages 557-581, May.

  8. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "Measuring Limits of Arbitrage in Fixed-Income Markets," Staff Working Papers 17-44, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Jabir Sandhu & Adrian Walton, 2019. "Relative Value of Government of Canada Bonds," Staff Analytical Notes 2019-23, Bank of Canada.
    2. Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2020. "Alternative futures for Government of Canada debt management," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(4), pages 659-685, January.
    3. Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
    4. Bulusu, Narayan, 2024. "Disentangling the supply and announcement effects of open market operations," Journal of Financial Markets, Elsevier, vol. 67(C).
    5. Livingston, Miles & Wu, Yanbin & Zhou, Lei, 2019. "The decline in idiosyncratic values of US Treasury securities," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    6. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
    7. Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.

  9. Jean-Sébastien Fontaine & Jeffrey Gao & Jabir Sandhu & Kobe Wu, 2017. "Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?," Staff Analytical Notes 17-23, Bank of Canada.

    Cited by:

    1. Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?," Staff Analytical Notes 2018-30, Bank of Canada.
    2. Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?," Staff Analytical Notes 2018-31, Bank of Canada.
    3. Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.

  10. Jean-Sébastien Fontaine & James Pinnington & Adrian Walton, 2017. "What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?," Staff Working Papers 17-54, Bank of Canada.

    Cited by:

    1. Léanne Berger-Soucy & Jean-Sébastien Fontaine & Adrian Walton, 2019. "Price Caps in Canadian Bond Borrowing Markets," Staff Analytical Notes 2019-2, Bank of Canada.
    2. Léanne Berger-Soucy & Jean-Sébastien Fontaine & Adrian Walton, 2019. "Prix plafonds sur les marchés canadiens des emprunts d’obligations," Staff Analytical Notes 2019-2-fr, Bank of Canada.
    3. Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.

  11. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "The Share of Systemic Variations in the Canadian Dollar—Part II," Staff Analytical Notes 17-1, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Guillaume Nolin, 2016. "The Share of Systematic Variations in the Canadian Dollar—Part I," Staff Analytical Notes 16-15, Bank of Canada.

  12. Jean-Sébastien Fontaine & Guillaume Nolin, 2016. "The Share of Systematic Variations in the Canadian Dollar—Part I," Staff Analytical Notes 16-15, Bank of Canada.

    Cited by:

    1. Jean-Sébastien Fontaine & Guillaume Nolin, 2016. "The Share of Systematic Variations in the Canadian Dollar—Part I," Staff Analytical Notes 16-15, Bank of Canada.
    2. Kilian, Lutz & Zhou, Xiaoqing, 2018. "The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada," CEPR Discussion Papers 12845, C.E.P.R. Discussion Papers.
    3. Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "The Share of Systemic Variations in the Canadian Dollar—Part II," Staff Analytical Notes 17-1, Bank of Canada.

  13. Jean-Sébastien Fontaine, 2016. "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers 16-61, Bank of Canada.

    Cited by:

    1. Andreas Neuhierl & Michael Weber, 2020. "Monetary Momentum," Working Papers 2020-39, Becker Friedman Institute for Research In Economics.
    2. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    3. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    4. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    5. Rodrigo Calcagni T., 2020. "Implied monetary policy extracted from interest rate swaps in Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 35(2), pages 3-27, October.
    6. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

  14. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.

    Cited by:

    1. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
    2. Godfrey Marozva & Margaret Rutendo Magwedere, 2021. "Nexus Between Stock Returns, Funding Liquidity and COVID-19," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 71(3-4), pages 86-100, July-Dece.
    3. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    4. Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55, december.
    5. Victoria Dobrynskaya, 2015. "Upside and Downside Risks in Momentum Returns," HSE Working papers WP BRP 50/FE/2015, National Research University Higher School of Economics.
    6. Ajay Kumar Mishra & Bhavik Parikh & Ronald W. Spahr, 2021. "Contemporaneous linkages: Funding liquidity and stock market spirals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5912-5929, October.
    7. Frömmel, Michael & Han, Xing & Li, Youwei & Vigne, Samuel A., 2022. "Low liquidity beta anomaly in China," Emerging Markets Review, Elsevier, vol. 50(C).

  15. Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term Structure Models," Staff Working Papers 15-46, Bank of Canada.

    Cited by:

    1. Yasuo Hirose & Takeki Sunakawa, 2016. "Parameter Bias in an Estimated DSGE Model," Working Papers halshs-01661908, HAL.
    2. Christian Friedrich & Pierre Guérin, 2016. "The Dynamics of Capital Flow Episodes," Staff Working Papers 16-9, Bank of Canada.
    3. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    4. Martin Geiger & Johann Scharler, 2021. "How Do People Interpret Macroeconomic Shocks? Evidence from U.S. Survey Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 813-843, June.
    5. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    6. Leo Krippner, 2020. "A Note of Caution on Shadow Rate Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 951-962, June.
    7. John W. Keating & Logan J. Kelly & A. Lee Smith & Victor J. Valcarcel, 2019. "A Model of Monetary Policy Shocks for Financial Crises and Normal Conditions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(1), pages 227-259, February.
    8. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.

  16. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.

    Cited by:

    1. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
    2. Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo, 2024. "U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K," Journal of Banking & Finance, Elsevier, vol. 168(C).
    3. Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.

  17. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.

    Cited by:

    1. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers 2013_17, Business School - Economics, University of Glasgow.
    2. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.

  18. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.

    Cited by:

    1. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
    2. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    4. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
    5. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    6. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    7. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    8. Khalfaoui, Rabeh & Stef, Nicolae & Wissal, Ben Arfi & Sami, Ben Jabeur, 2022. "Dynamic spillover effects and connectedness among climate change, technological innovation, and uncertainty: Evidence from a quantile VAR network and wavelet coherence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    9. Benjamin A. Jansen, 2021. "Cash flow growth and stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 371-402, June.
    10. Dotsis, George, 2017. "The market price of risk of the variance term structure," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 41-52.
    11. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
    12. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    13. Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
    14. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
    15. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
    16. Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).
    17. Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
    18. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    19. Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
    20. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2019. "The information content of the implied volatility term structure on future returns," European Financial Management, European Financial Management Association, vol. 25(2), pages 380-406, March.
    21. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    22. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
    23. Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari, 2022. "Forecasting variance swap payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2135-2164, December.
    24. Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.

  19. Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012. "When Lower Risk Increases Profit: Competition and Control of a Central Counterparty," Staff Working Papers 12-35, Bank of Canada.

    Cited by:

    1. Jorge Cruz Lopez & Jeffrey Harris & Christophe Hurlin & Christophe Pérignon, 2017. "CoMargin," Post-Print hal-03579309, HAL.
    2. Gai, Prasanna & Kemp, Malcolm & Sánchez Serrano, Antonio & Schnabel, Isabel, 2019. "Regulatory complexity and the quest for robust regulation," Report of the Advisory Scientific Committee 8, European Systemic Risk Board.

  20. Jean-Sébastien Fontaine & René Garcia, 2009. "Bond Liquidity Premia," Staff Working Papers 09-28, Bank of Canada.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
    3. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    4. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
    5. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    6. Garcia-Feijoo, Luis & Jensen, Gerald R. & Jensen, Tyler K., 2018. "Momentum and funding conditions," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 312-329.
    7. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    8. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    9. Gromb, Denis & Vayanos, Dimitri, 2015. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 62007, London School of Economics and Political Science, LSE Library.
    10. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    11. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    12. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
    13. David Musto & Greg Nini & Krista Schwarz, 2018. "Notes on Bonds: Illiquidity Feedback During the Financial Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2983-3018.
    14. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    15. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
    16. Rosen Valchev, 2020. "Bond Convenience Yields and Exchange Rate Dynamics," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 124-166, April.
    17. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
    18. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
    19. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    20. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2012. "Fund manager allocation," CFR Working Papers 10-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
    21. José Valentim Machado Vicente & Flávia Mourão Graminho, 2014. "Decompondo a Inflação Implícita," Working Papers Series 359, Central Bank of Brazil, Research Department.
    22. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.
    23. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    24. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    25. Hubert, Paul & Maule, Becky, 2016. "Policy and macro signals as inputs to inflation expectation formation," Bank of England working papers 581, Bank of England.
    26. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
    27. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
    28. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
    29. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, Department of Economics and Business Economics, Aarhus University.
    30. Sanvi Avouyi-Dovi & Julien Idier, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Post-Print hal-01511935, HAL.
    31. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
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Articles

  1. Jean‐Sébastien Fontaine & Guillaume Nolin, 2019. "Measuring Limits Of Arbitrage In Fixed‐Income Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(3), pages 525-552, September.
    See citations under working paper version above.
  2. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.

    Cited by:

    1. fajardo, José, 2016. "A New Factor to Explain Implied Volatility Smirk," MPRA Paper 71809, University Library of Munich, Germany.

  3. Jean-Sébastien Fontaine & Lena Suchanek & Jing Yang, 2017. "Unconventional Monetary Policy: The Perspective of a Small Open Economy?," Bank of Canada Review, Bank of Canada, vol. 2017(Spring), pages 19-30.

    Cited by:

    1. Semih Emre Cekin & Besma Hkiri & Aviral Kumar Tiwari & Rangan Gupta, 2019. "The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains," Working Papers 201904, University of Pretoria, Department of Economics.
    2. Sarah Drought & Roger Perry & Adam Richardson, 2018. "Aspects of implementing unconventional monetary policy in New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 81, pages 1-22, May.
    3. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    4. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.

  4. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    See citations under working paper version above.
  5. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Non-Markov Gaussian Term Structure Models: The Case of Inflation," Review of Finance, European Finance Association, vol. 18(5), pages 1953-2001.

    Cited by:

    1. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
    2. Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo, 2024. "U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K," Journal of Banking & Finance, Elsevier, vol. 168(C).
    3. Bruno Feunou & Jean-Sébastien Fontaine & James Kyeong & Jesus Sierra, 2015. "Foreign Flows and Their Effects on Government of Canada Yields," Staff Analytical Notes 15-1, Bank of Canada.
    4. Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.

  6. Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012. "Access, Competition and Risk in Centrally Cleared Markets," Bank of Canada Review, Bank of Canada, vol. 2012(Autumn), pages 14-22.

    Cited by:

    1. Lane, T. & Dion, J.-P. & Slive, J., 2013. "Access to central counterparties: why it matters and how it is changing," Financial Stability Review, Banque de France, issue 17, pages 169-177, April.
    2. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    3. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
    4. Jean-Sébastien Fontaine & Héctor Pérez Saiz & Joshua Slive, 2012. "When Lower Risk Increases Profit: Competition and Control of a Central Counterparty," Staff Working Papers 12-35, Bank of Canada.
    5. Cucic, Dominic, 2022. "Central clearing and loss allocation rules," Journal of Financial Markets, Elsevier, vol. 59(PA).
    6. Joshua Slive & Jonathan Witmer & Elizabeth Woodman, 2012. "Liquidity and Central Clearing: Evidence from the CDS Market," Staff Working Papers 12-38, Bank of Canada.
    7. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.

  7. Jean-Sébastien Fontaine & René Garcia, 2012. "Bond Liquidity Premia," The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
    See citations under working paper version above.
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