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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Détails bibliographiques
Cote:Libro Electrónico
Auteurs principaux: Gyntelberg, Jacob (Auteur), Loretan, Mico (Auteur), Tientip Subhanij (Auteur)
Collectivité auteur: International Monetary Fund. Institute for Capacity Development
Format: Électronique eBook
Langue:Inglés
Publié: [Washington, D.C.] : International Monetary Fund, ©2012.
Collection:IMF working paper ; WP/12/213.
Sujets:
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
Accès en ligne:Texto completo
Table des matières:
  • 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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