Chris D'Souza - Latest
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The Role of Foreign Exchange Dealers in Providing Overnight Liquidity
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. -
Where Does Price Discovery Occur in FX Markets?
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. -
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
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. -
The Effects of Economic News on Bond Market Liquidity
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. -
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
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. -
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market. -
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada
This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade. -
The Effects of Bank Consolidation on Risk Capital Allocation and Market Liquidity
This paper investigates the effects of financial market consolidation on risk capital allocation in a financial institution and the implications for market liquidity in dealership markets. We show that an increase in financial market consolidation can have ambiguous effects on liquidity in foreign exchange and government securities markets.