The ECB published a paper earlier this week pointing at potential insider trading in the US. Alexandre Kurov, Alessio Sancetta, Georg Strasser and Marketa Halova Wolfe, the co-author of Price drift before U.S. macroeconomic news: private information about public announcement?, believe to have found some evidences of insider trading.
Long story short: really really bad. But there's a optimistic remark coming: we're almost as good at forecasting that we are at counting. In other words, we are bad at both, and should potentially question more heavily the reliability of monthly employment figures.
That's a question that is often discussed, though not always with the necessary rigor. The general consensus is that 'you can have the statistics say whatever you want'. I strongly disagree with this statement, and I'll use a real-life example to show why.