This paper examines the source of price discovery in the Australian Dollar currency market. The time-varying relationship between changes in quotes posted by cash market dealers and changes in currency futures quotes is estimated. The cash market quotations identifY the eleven dealers posting the quotes, as well as geographical location of the dealers (Australia or overseas). Reported results show that price discovery originates in the cash market in any trading period. Amongst CUlTency dealers, the results imply that local desks are price leaders during Australian trading hours. Though some foreign desks do contribute to price discovery during the European and US trading hours, price leadership of local desks is also found to extend to this period. These findings are consistent with the proposition that local desks can provide significant price discovery in the Australian DoJIar cUlTency market during Australian daytime.