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100   $a20121206d2012      uy             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aPrivate information, capital flows, and exchange rates$b[electronic resource] /$fJacob Gyntelberg, Mico Loretan, and Tientip Subhanij
210   $aWashington, D.C. $cInternational Monetary Fund$dc2012
215   $a1 online resource (29 p.)
225  0$aIMF working paper ;$vWP/12/213
300   $aDescription based upon print version of record.
311   $a1-4755-6285-3 
311   $a1-4755-0563-9 
320   $aIncludes bibliographical references.
327   $aCover; 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 regression
327   $aC. 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; References
330   $aWe demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors' transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of for
410  0$aIMF Working Papers
606   $aForeign exchange rates
606   $aForeign exchange
608   $aElectronic books.
615  0$aForeign exchange rates.
615  0$aForeign exchange.
700   $aGyntelberg$b Jacob$0908656
701   $aLoretan$b Mico$0908657
701   $aTientip Subhanij$0908658
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910461973803321
996   $aPrivate information, capital flows, and exchange rates$92032191
997   $aUNINA