Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85632
Authors: 
de Jong, Frank
Mahieu, Ronald
Schotman, Peter
van Leeuwen, Irma
Year of Publication: 
1999
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-032/2
Abstract: 
This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual banks. We investigate the hypothesis that Germanbanks are price leaders in the deutschmark/dollar market. Our empiricalresults suggest an important but not exclusive role for German banks inthe price discovery process. There is also a group of banks, German andnon-German, that lags behind the market and does not contribute to theprice discovery process. In contrast to Peiers~(1997) we do not findevidence for stronger price leadership of Deutsche bank on days withsuspected Bundesbank interventions in the foreign exchange market.
Subjects: 
exchange rates
moment estimators
high frequency data
microstructure
JEL: 
F31
C32
Document Type: 
Working Paper

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