Chris D'Souza - Latest

• November 11, 2008

  The Role of Dealers in Providing Interday Liquidity in the Canadian-Dollar Market

  Bank of Canada Review - Winter 2008-2009 Chris D'Souza

  Access to information about the future direction of the exchange rate can be extremely valuable in the foreign exchange market. Evidence presented in this article suggests that Canadian dealers are more likely to provide interday liquidity to foreign, rather than Canadian, financial customers, since foreign financial flows can be more informative about future movements in the exchange rate. The author reveals a statistical relationship between the supply of liquidity provided by non-financial firms and that provided by dealing institutions across time, and across markets, and suggests that the relationship between the positions of commercial clients and market-makers, and the role played by dealers in interday liquidity provision, has been understated in the market microstructure literature.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates, Financial institutions, Financial markets, Market structure and pricing

• The Role of Foreign Exchange Dealers in Providing Overnight Liquidity

  Staff Working Paper 2008-44 Chris D'Souza

  This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): D, D8, D82, F, F3, F31, G, G2, G21
• March 17, 2008

  Price Discovery Across Geographic Locations in the Foreign Exchange Market

  Bank of Canada Review - Spring 2008 Chris D'Souza

  The ongoing process of price discovery in foreign exchange markets provides valuable information to certain market participants. Recent empirical findings suggest that aggregate measures of order flow convey information about the fundamental value of the exchange rate. Using a market microstructure approach, D'Souza reports on a two-year study of completed transactions within the Canadian and Australian exchange rate markets to examine the relationship between exchange rate returns and trades initiated in different locations. Based on the information content of the trades, he finds that geographic location and hours of operation are two of the factors driving informed interdealer trading.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates, Financial markets, Market structure and pricing

• Where Does Price Discovery Occur in FX Markets?

  Staff Working Paper 2007-52 Chris D'Souza

  Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
• June 24, 2007

  Price Formation and Liquidity Provision in the Markets for European and Canadian Government Securities

  Financial System Review - June 2007 Chris D'Souza, Ingrid Lo, Stephen Sapp

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

• Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

  Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp

  Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15
• June 1, 2004

  Liquidity in the Market for Government of Canada Bonds: An Empirical Analysis

  Financial System Review - June 2004 Chris D'Souza

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

• The Effects of Economic News on Bond Market Liquidity

  Staff Working Paper 2004-16 Chris D'Souza, Charles Gaa

  The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G14
• December 21, 2003

  The Rationale for Cross-Border Listings

  Bank of Canada Review - Winter 2003-2004 Éric Chouinard, Chris D'Souza

  Technological progress and the liberalization of capital flows have both contributed to the considerable changes in global equity markets over the past few decades. Yet obstacles to international capital flows still exist, leading to segmentation of markets and creating incentives for corporate managers to adopt financial policies such as international cross-listing. In exploring the costs and benefits of cross-listing, Chouinard and D'Souza find that U.S. exchanges are attracting an increasing share of cross-listed firms. The empirical studies they review suggest that the cost of equity capital declines following a foreign listing as a result of lower transactions costs or an improvement in the quality and quantity of firm-specific information available to investors. As well, informational asymmetries across countries prevent simultaneous price discovery across exchanges.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets, International topics

• An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

  Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang

  The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G14