Macroeconomic Announcements and Private Information in the Foreign Exchange Market

29 Pages Posted: 7 Mar 2005

See all articles by Kate Phylaktis

Kate Phylaktis

City University London - Sir John Cass Business School

Long Chen

City University London - Sir John Cass Business School

Date Written: February 2005

Abstract

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.

Keywords: Market microstructure, foreign exchange rates, foreign exchange markets, macroeconomic news announcements

JEL Classification: F31

Suggested Citation

Phylaktis, Kate and Chen, Long, Macroeconomic Announcements and Private Information in the Foreign Exchange Market (February 2005). Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=677508 or http://dx.doi.org/10.2139/ssrn.677508

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Long Chen

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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