LEADER 05362oam 22011774 450 001 9910786474503321 005 20230801225501.0 010 $a1-4755-1956-7 010 $a1-4755-4777-3 035 $a(CKB)2670000000278931 035 $a(EBL)1606961 035 $a(SSID)ssj0000939836 035 $a(PQKBManifestationID)11512661 035 $a(PQKBTitleCode)TC0000939836 035 $a(PQKBWorkID)10956154 035 $a(PQKB)11296677 035 $a(MiAaPQ)EBC1606961 035 $a(Au-PeEL)EBL1606961 035 $a(CaPaEBR)ebr10627152 035 $a(OCoLC)808745397 035 $a(IMF)WPIEE2012213 035 $a(IMF)WPIEA2012213 035 $a(EXLCZ)992670000000278931 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aPrivate Information, Capital Flows, and Exchange Rates /$fJacob Gyntelberg, Subhanij Tientip, Mico Loretan 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (29 p.) 225 1 $aIMF Working Papers 225 0$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 3 $aWe demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors? stock market transactions have both an economically significant and a permanent impact on exchange rates, whereas capital flows induced by foreign investors? transactions in government bond markets do not. We relate these differences in the price impact of capital flows to differences in the amounts of private information conveyed by these flows. Our empirical findings are based on novel, daily-frequency datasets on prices and quantities of all transactions of foreign investors in the stock, bond, and onshore FX markets of Thailand. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/213 606 $aForeign exchange rates 606 $aForeign exchange 606 $aFinance: General$2imf 606 $aForeign Exchange$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aCentral Banks and Their Policies$2imf 606 $aInternational Finance Forecasting and Simulation$2imf 606 $aInformation and Market Efficiency$2imf 606 $aEvent Studies$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInternational Financial Markets$2imf 606 $aFinance$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aStock markets$2imf 606 $aSecurities markets$2imf 606 $aCurrency markets$2imf 606 $aExchange rates$2imf 606 $aFinancial markets$2imf 606 $aStock exchanges$2imf 606 $aCapital market$2imf 606 $aForeign exchange market$2imf 607 $aThailand$2imf 615 0$aForeign exchange rates. 615 0$aForeign exchange. 615 7$aFinance: General 615 7$aForeign Exchange 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aCentral Banks and Their Policies 615 7$aInternational Finance Forecasting and Simulation 615 7$aInformation and Market Efficiency 615 7$aEvent Studies 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInternational Financial Markets 615 7$aFinance 615 7$aCurrency 615 7$aForeign exchange 615 7$aStock markets 615 7$aSecurities markets 615 7$aCurrency markets 615 7$aExchange rates 615 7$aFinancial markets 615 7$aStock exchanges 615 7$aCapital market 615 7$aForeign exchange market 700 $aGyntelberg$b Jacob$01536610 701 $aTientip$b Subhanij$01536611 701 $aLoretan$b Mico$01536612 801 0$bDcWaIMF 906 $aBOOK 912 $a9910786474503321 996 $aPrivate Information, Capital Flows, and Exchange Rates$93785469 997 $aUNINA