Private information, capital flows, and exchange rates /

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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'...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Gyntelberg, Jacob (Author), Loretan, Mico (Author), Tientip Subhanij (Author)
Corporate Author: International Monetary Fund. Institute for Capacity Development
Format: Electronic eBook
Language:Inglés
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/213.
Subjects:
Capital movements > Thailand.
Foreign exchange rates > Thailand.
Mouvements de capitaux > Thaïlande.
Taux de change > Thaïlande.
BUSINESS & ECONOMICS > Finance.
Capital movements
Foreign exchange rates
Thailand
Tables
Online Access:Texto completo
Table of Contents:
  • 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.
  • 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.

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