Macroeconomic Announcements and Private Information in the Foreign Exchange Market

This study investigates the existence of private information in the spot foreign exchange market by examining the impact of macroeconomic announcements on banks' currency pricing behavior. Using 5 years of indicative GBP/USD data and 11 U.S. macroeconomic announcements, we find that the price information share gap between the top 10 banks and the rest of the banks increases during the announcements compared to benchmark time. This is supportive evidence for the existence of private information on fundamentals in foreign exchange markets