Private Information, Capital Flows, and Exchange Rates /

We 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'...

תיאור מלא

מידע ביבליוגרפי
מחבר ראשי: Gyntelberg, Jacob
מחברים אחרים: Loretan, Mico, Tientip, Subhanij
פורמט: כתב-עת
שפה:English
יצא לאור: Washington, D.C. : International Monetary Fund, 2012.
סדרה:IMF Working Papers; Working Paper ; No. 2012/213
גישה מקוונת:Full text available on IMF
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245 1 0 |a Private Information, Capital Flows, and Exchange Rates /  |c Jacob Gyntelberg, Subhanij Tientip, Mico Loretan. 
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300 |a 1 online resource (28 pages) 
490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a We 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. 
538 |a Mode of access: Internet 
700 1 |a Loretan, Mico. 
700 1 |a Tientip, Subhanij. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2012/213 
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