03302nam 2200613Ia 450 991046197380332120200520144314.01-4755-1956-71-4755-4777-3(CKB)2670000000278931(EBL)1606961(SSID)ssj0000939836(PQKBManifestationID)11512661(PQKBTitleCode)TC0000939836(PQKBWorkID)10956154(PQKB)11296677(MiAaPQ)EBC1606961(Au-PeEL)EBL1606961(CaPaEBR)ebr10627152(OCoLC)808745397(EXLCZ)99267000000027893120121206d2012 uy 0engurcn|||||||||txtccrPrivate information, capital flows, and exchange rates[electronic resource] /Jacob Gyntelberg, Mico Loretan, and Tientip SubhanijWashington, D.C. International Monetary Fundc20121 online resource (29 p.)IMF working paper ;WP/12/213Description based upon print version of record.1-4755-6285-3 1-4755-0563-9 Includes bibliographical references.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; Tables; 1. Autocorrelations in foreign investors' net daily order flow; IV. Empirical Results; 2. Variable mnemonics and descriptions; A. FX Order Flow Induced by Stock and Bond Market Transactions; 3. Influence of stock and bond market variables on FX flows; B. Order Flow Regression; 4. FX order flow regressionC. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks; D. Possible Alternative Explanations; 1. Hedging Activity; 5. Determinants of FX swap order flow; 2. Carry Trade Activity; V. Concluding Remarks; ReferencesWe 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 forIMF Working PapersForeign exchange ratesForeign exchangeElectronic books.Foreign exchange rates.Foreign exchange.Gyntelberg Jacob908656Loretan Mico908657Tientip Subhanij908658MiAaPQMiAaPQMiAaPQBOOK9910461973803321Private information, capital flows, and exchange rates2032191UNINA