03471nam 2200649Ia 450 991082617910332120200520144314.01-4755-1956-71-4755-4777-3(CKB)2670000000278931(EBL)1606961(SSID)ssj0000939836(PQKBManifestationID)11512661(PQKBTitleCode)TC0000939836(PQKBWorkID)10956154(PQKB)11296677(Au-PeEL)EBL1606961(CaPaEBR)ebr10627152(OCoLC)808745397(IMF)WPIEE2012213(IMF)WPIEA2012213(MiAaPQ)EBC1606961(EXLCZ)99267000000027893120121206d2012 uy 0engurcn|||||||||txtccrPrivate information, capital flows, and exchange rates /Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij1st ed.Washington, 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 foreign investors in the stock, bond, and onshore FX markets of Thailand.IMF Working Papers; Working Paper ;No. 2012/213Foreign exchange ratesForeign exchangeForeign exchange rates.Foreign exchange.332.1;332.152Gyntelberg Jacob1661134Loretan Mico1661136Tientip Subhanij1661135MiAaPQMiAaPQMiAaPQBOOK9910826179103321Private Information, Capital Flows, and Exchange Rates4016884UNINA