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Private information, capital flows, and exchange rates /
We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors'...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Colección: | IMF working paper ;
WP/12/213. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Gyntelberg, Jacob, |e author. | |
| 245 | 1 | 0 | |a Private information, capital flows, and exchange rates / |c prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (29 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 490 | 1 | |a IMF working paper ; |v WP/12/213 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Aug. 30, 2012). | ||
| 520 | |a We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors' transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of foreign investors in the stock, bond, and onshore FX markets of Thailand. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Institute for Capacity Development." | ||
| 500 | |a "September 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. The Markets and the Data; A. Sample Period and Foreign Investor Definition; B. The Onshore FX Market; C. The Equity Market; D. The Bond Market; III. Private Information and FX Markets; IV. Empirical Results; A. FX Order Flow Induced by Stock and Bond Market Transactions; B. Order Flow Regression; C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate; D. Possible Alternative Explanations; 1. Hedging Activity; 2. Carry Trade Activity; V. Concluding Remarks; References; Tables; 1. Autocorrelations in foreign investors' net daily order flow. | |
| 505 | 8 | |a 2. Variable mnemonics and descriptions3. Influence of stock and bond market variables on FX flows; 4. FX order flow regression; 5. Determinants of FX swap order flow; Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks. | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Capital movements |z Thailand. | |
| 650 | 0 | |a Foreign exchange rates |z Thailand. | |
| 650 | 6 | |a Mouvements de capitaux |z Thaïlande. | |
| 650 | 6 | |a Taux de change |z Thaïlande. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Capital movements |2 fast | |
| 650 | 7 | |a Foreign exchange rates |2 fast | |
| 651 | 7 | |a Thailand |2 fast | |
| 655 | 7 | |a Tables |2 fast | |
| 700 | 1 | |a Loretan, Mico, |e author. | |
| 700 | 0 | |a Tientip Subhanij, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Institute for Capacity Development. | |
| 776 | |z 1-4755-6285-3 | ||
| 776 | |z 1-4755-0563-9 | ||
| 830 | 0 | |a IMF working paper ; |v WP/12/213. | |
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