05551oam 22012614 450 991096060570332120250426110640.09781475519563147551956797814755477711475547773(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)EBC1606961WPIEA2012213(EXLCZ)99267000000027893120020129d2012 uf 0engurcn|||||||||txtccrPrivate Information, Capital Flows, and Exchange Rates /Jacob Gyntelberg, Subhanij Tientip, Mico Loretan1st ed.Washington, 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.9781475562859 1475562853 9781475505634 1475505639 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 exchangeCapital marketimfCentral Banks and Their PoliciesimfCurrency marketsimfCurrencyimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEvent StudiesimfExchange ratesimfFinanceimfFinance: GeneralimfFinancial marketsimfForeign exchange marketimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfInformation and Market EfficiencyimfInternational Finance Forecasting and SimulationimfInternational Financial MarketsimfSecurities marketsimfStock exchangesimfStock marketsimfTime-Series ModelsimfThailandimfForeign exchange rates.Foreign exchange.Capital marketCentral Banks and Their PoliciesCurrency marketsCurrencyDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEvent StudiesExchange ratesFinanceFinance: GeneralFinancial marketsForeign exchange marketForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)Information and Market EfficiencyInternational Finance Forecasting and SimulationInternational Financial MarketsSecurities marketsStock exchangesStock marketsTime-Series Models332.1;332.152Gyntelberg Jacob1815707Loretan Mico1815708Tientip Subhanij1815709DcWaIMFBOOK9910960605703321Private Information, Capital Flows, and Exchange Rates4371225UNINA