Publications & Research

Chris D'Souza

Senior Economist

Mail:

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

Phone:

613 782-7585

Fax:

613 782-7136

---

Education:

• Ph.D., Queen's University at Kingston
  
• M.A., Queen's University at Kingston
  
• B.A. (Honours), University of Western Ontario

---

Research Interests:

• market microstructure of foreign exchange and fixed-income markets
• efficiency and stability in payment, clearing and settlement systems
• financial institution risk management, capital allocation, and portfolio diversification
• international finance
  

---

Events:

Discussed "On the Opportunity Cost of FX Reserves"
by Francis Breedon (Tanaka Business School, Imperial College, London) at Exchange Rate Intervention: Theory and Experience, September 2006, Cambridge, U.K.

Discussed "Forecasting the Price of Crude Oil via Convenience Yield Predictions"
by Thomas Knetsch (Deutsche Bundesbank) at the Bank of Canada Workshop on Commodity Price Issues, July 2006, Ottawa.

Presented "Price Formation and Liquidity Provision in International Bond Markets"
(with I. Lo and S. Sapp) Bank of Canada conference on Fixed Income Markets, May 2006, Ottawa.

Presented "Market Microstructure and Canadian Financial Markets"
at the Toronto Association of Business and Economics, November 2005, Toronto.

Discussed "Asymmetric Information and Currency Swaps"
by C. Osler, A. Mende and L. Menkhoff at the Bank of Canada and The Sauder School of Business, University of British Columbia Workshop on International Financial Markets, August 2005, Vancouver.

Presented "The Pricing of Operational Risk and Contingency: A Focus on Incentives"
at the Northern Finance Association Meetings, September 2005, Vancouver.

Discussed "Financial Intermediation and the Costs of Trading in an Opaque Market"
by R. Green, B. Hollifield and N. Schurhoff at the Second MTS Conference on Financial Markets, December 2004, Vienna.

Presented "Bond Market Liquidity and the Effects of News Events"
(with C. Gaa) at Bank of Canada Workshop on Fixed Income Markets, November 2004, Montreal.

Discussed "Option Prices and the Monotonicity Property: Violations and Implications"
by C. Pérignon at the Northern Finance Association Meetings, September 2004, St. John's, Newfoundland.

Presented "The Relationship between Transparency and Market Quality, A Literature Review"
at Bank of Canada's "Workshop on Regulation, Transparency and the Quality of Fixed Income Markets", February 2004, Ottawa (co-organizer).

Presented "How Do Banks Respond to Capital Shocks?"
(with A. Lai) at VIII Meeting of the Network of America Central Bank Researchers, Caracas, November 2003, Venezuela.

Presented "Does Diversification Improve Bank Efficiency?"
(with A. Lai) at Bank of Canada conference "The Evolving Financial System and Public Policy", December 2003, Ottawa

Discussed "Stop-Loss Orders and Price Cascades in Currency Markets"
by Carol Osler, Brandeis University at the "Workshop on FOREX Microstructure and International Macroeconomics", Stockholm Institute for Financial Research, April 2003, Stockholm.

Discussed "Portfolio Balance, Price Impact, and Secret Intervention*"
by Martin D. D. Evans and Richard K. Lyons at Bank of Canada conference "Financial Market Structure and Dynamics", November 2001, Ottawa

---

Publications:

Refereed Journals:

"The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity"
(with A. Lai), 2006, in Journal of Financial Research, 29, p. 271-291.

"How Liquid are Canadas?"
(with C. Gaa), 2004, Canadian Investment Review, Winter, p. 23-28.

"How Do Banks Respond to Capital Shocks?"
(with A. Lai), 2004, Monetaria, 27:1 p. 33-56.

Bank of Canada publications:

"Collateral Management in the LVTS by Canadian Financial Institutions"
Bank of Canada Review, Summer 2009: p. 3-14.

"The Role of Dealers in Providing Interday Liquidity in the Canadian-Dollar Market"
Bank of Canada Review, Winter 2008-2009: p. 5-16.

"The Role of Foreign Exchange Dealers in Providing Overnight Liquidity,"
Bank of Canada Working Paper No. 2008-44.

"Price Discovery Across Geographic Locations in the Foreign Exchange Market "
Bank of Canada Review, Spring 2008: p. 19-27.

"Where Does Price Discovery Occur in FX Markets?,"
Bank of Canada Working Paper No. 2007-52.

"Price Formation and Liquidity Provision in Short-Term Fixed Income Markets,"
(with Ingrid Lo and Stephen Sapp) Bank of Canada Working Paper No. 2007-27.

"An Empirical Analysis of Liquidity in the Market for Government of Canada Bonds",
Financial System Review, June 2004, p. 79-81.

"Does Diversification Improve Bank Efficiency?"
(with A. Lai), The Evolving Financial System and Public Policy, Bank of Canada conference proceedings, 2004, p. 105-127.

"The Effects of Economic News on Bond Market Liquidity,"
(with C. Gaa) Bank of Canada Working Paper No. 2004-16.

"The Rationale for Cross-Border Listings"
(with Éric Chouinard) Bank of Canada Review, Winter 2003-2004

"An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds,"
(with Charles Gaa and Jing Yang) Bank of Canada Working Paper No. 2003-28.

"Canadian Foreign Exchange Market Liquidity and Exchange Rate Dynamics"
Financial System Review, 2002, p. 59-61.

"How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?,"
Bank of Canada Working Paper No. 2002-34.

"A Market Microstructure Analysis of Foreign Exchange Intervention in Canada,"
Bank of Canada Working Paper No. 2002-16.

"The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity,"
(with A. Lai). Bank of Canada Working Paper No. 2002-5.

Bank of Canada Conference Paper on "Financial Market Structure and Dynamics"
and BIS Paper – Market functioning and central bank policy.

---

List of members of our economics research staff and executive in alphabetical order.