  We present a Hawkes model approach to foreign exchange market in which the
high frequency price dynamics is affected by a self exciting mechanism and an
exogenous component, generated by the pre-announced arrival of macroeconomic
news. By focusing on time windows around the news announcement, we find that
the model is able to capture the increase of trading activity after the news,
both when the news has a sizeable effect on volatility and when this effect is
negligible, either because the news in not important or because the
announcement is in line with the forecast by analysts. We extend the model by
considering non-causal effects, due to the fact that the existence of the news
(but not its content) is known by the market before the announcement.
