Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market
通过格兰杰因果检验分析外汇交易中的价格领导模式，发现德意志银行在德国央行干预报告发布前60分钟即成为价格领导者，表明央行活动分阶段泄露给不同市场参与者。
ABSTRACT This article identifies price leadership patterns in foreign exchange trading, with a focus on central bank intervention as an informational trigger for leadership positioning. Granger causality tests applied to DM/US$ spot rate quotes reveal Deutsche Bank as a price leader up to 60 minutes prior to Bundesbank interventionary reports. By the minus 25‐minute mark, interbank quote adjustments become two‐way Granger‐causal. These results suggest that central bank activity is revealed in stages: first to the price leader, then to competitors, and lastly to the general public.