05362oam 22011774 450 991078647450332120230801225501.01-4755-1956-71-4755-4777-3(CKB)2670000000278931(EBL)1606961(SSID)ssj0000939836(PQKBManifestationID)11512661(PQKBTitleCode)TC0000939836(PQKBWorkID)10956154(PQKB)11296677(MiAaPQ)EBC1606961(Au-PeEL)EBL1606961(CaPaEBR)ebr10627152(OCoLC)808745397(IMF)WPIEE2012213(IMF)WPIEA2012213(EXLCZ)99267000000027893120020129d2012 uf 0engurcn|||||||||txtccrPrivate Information, Capital Flows, and Exchange Rates /Jacob Gyntelberg, Subhanij Tientip, Mico LoretanWashington, D.C. :International Monetary Fund,2012.1 online resource (29 p.)IMF Working PapersIMF 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 foreign investors in the stock, bond, and onshore FX markets of Thailand.IMF Working Papers; Working Paper ;No. 2012/213Foreign exchange ratesForeign exchangeFinance: GeneralimfForeign ExchangeimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfCentral Banks and Their PoliciesimfInternational Finance Forecasting and SimulationimfInformation and Market EfficiencyimfEvent StudiesimfGeneral Financial Markets: General (includes Measurement and Data)imfInternational Financial MarketsimfFinanceimfCurrencyimfForeign exchangeimfStock marketsimfSecurities marketsimfCurrency marketsimfExchange ratesimfFinancial marketsimfStock exchangesimfCapital marketimfForeign exchange marketimfThailandimfForeign exchange rates.Foreign exchange.Finance: GeneralForeign ExchangeTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesCentral Banks and Their PoliciesInternational Finance Forecasting and SimulationInformation and Market EfficiencyEvent StudiesGeneral Financial Markets: General (includes Measurement and Data)International Financial MarketsFinanceCurrencyForeign exchangeStock marketsSecurities marketsCurrency marketsExchange ratesFinancial marketsStock exchangesCapital marketForeign exchange marketGyntelberg Jacob1536610Tientip Subhanij1536611Loretan Mico1536612DcWaIMFBOOK9910786474503321Private Information, Capital Flows, and Exchange Rates3785469UNINA