Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico

We analyze intraday price discovery in the spot and futures markets for an emerging economy's flexible exchange rate: the U.S. dollar-Mexican peso (USD-MXN) rate. The futures and spot markets are cointegrated and significantly driven by the common factor. Both markets rapidly respond to the disequilibrium between markets in a minute. Overall the spot market moderately leads futures in price discovery. We also look at the impact of Mexican government interventions on price discovery and find interventions have a significant impact on price discovery.