ECB calls out United States for economic data leaks
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The ECB has been researching US economic data and it doesn't like what it has found.
In a report that could shock market participants and regulators, they note advance price moves on embargoed private statistics.
The report says they see 'price drift' in front of some US macroeconomic news, with prices moving in the 'correct' direction about 30 minutes before the releases.
"Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time," the researchers say. "The pre-announcement price drift accounts on average for about half of the total price adjustment."
They studied S&P E-Minis and US T-note futures from Jan 2008 to March 2014.
They say further study of 'informed' trades is needed and the report is careful to note that it represents the view of the authors, not the ECB.
The headlines are just crossing. They specifically notice 'private' data so that may rule out some of the biggest releases but not important ones like ISM non-manufacturing or consumer confidence.
"The third category, previously not documented in academic literature, involves an unusual pre-release procedure used in three announcements: Instead of being pre-released in lock-up rooms, these announcements are electronically transmitted to journalists who are asked not to share the information with others. Three announcements in this category are among the seven announcements with strong drift," they write.
Here is the list of data that is most-likely leaked:
Others, including retail sales, the CPI, advance GDP and initial jobless claims also show some evidence.
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