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'...
Gespeichert in:
Hauptverfasser: | , , |
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Körperschaft: | |
Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
Schriftenreihe: | IMF working paper ;
WP/12/213. |
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | 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. |
Beschreibung: | Title from PDF title page (IMF Web site, viewed Aug. 30, 2012). "Institute for Capacity Development." "September 2012." |
Beschreibung: | 1 online resource (29 pages) |
Bibliographie: | Includes bibliographical references. |
ISBN: | 1475562853 9781475562859 1475519567 9781475519563 1475547773 9781475547771 |
Internformat
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500 | |a Title from PDF title page (IMF Web site, viewed Aug. 30, 2012). | ||
520 | |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. | ||
504 | |a Includes bibliographical references. | ||
500 | |a "Institute for Capacity Development." | ||
500 | |a "September 2012." | ||
505 | 0 | |a 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; IV. Empirical Results; A. FX Order Flow Induced by Stock and Bond Market Transactions; B. Order Flow Regression; C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate; D. Possible Alternative Explanations; 1. Hedging Activity; 2. Carry Trade Activity; V. Concluding Remarks; References; Tables; 1. Autocorrelations in foreign investors' net daily order flow. | |
505 | 8 | |a 2. Variable mnemonics and descriptions3. Influence of stock and bond market variables on FX flows; 4. FX order flow regression; 5. Determinants of FX swap order flow; Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks. | |
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author | Gyntelberg, Jacob Loretan, Mico Tientip Subhanij |
author_corporate | International Monetary Fund. Institute for Capacity Development |
author_corporate_role | |
author_facet | Gyntelberg, Jacob Loretan, Mico Tientip Subhanij International Monetary Fund. Institute for Capacity Development |
author_role | aut aut aut |
author_sort | Gyntelberg, Jacob |
author_variant | j g jg m l ml t s ts |
building | Verbundindex |
bvnumber | localFWS |
callnumber-first | H - Social Science |
callnumber-label | HG3881 |
callnumber-raw | HG3881.5.I58 W67 No. 12/213eb |
callnumber-search | HG3881.5.I58 W67 No. 12/213eb |
callnumber-sort | HG 43881.5 I58 W67 NO 212 3213EB |
callnumber-subject | HG - Finance |
collection | ZDB-4-EBU |
contents | 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; IV. Empirical Results; A. FX Order Flow Induced by Stock and Bond Market Transactions; B. Order Flow Regression; C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate; D. Possible Alternative Explanations; 1. Hedging Activity; 2. Carry Trade Activity; V. Concluding Remarks; References; Tables; 1. Autocorrelations in foreign investors' net daily order flow. 2. Variable mnemonics and descriptions3. Influence of stock and bond market variables on FX flows; 4. FX order flow regression; 5. Determinants of FX swap order flow; Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks. |
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dewey-search | 332.45 |
dewey-sort | 3332.45 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
format | Electronic eBook |
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series2 | IMF working paper ; |
spelling | Gyntelberg, Jacob, author. Private information, capital flows, and exchange rates / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (29 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda IMF working paper ; WP/12/213 Title from PDF title page (IMF Web site, viewed Aug. 30, 2012). 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. Includes bibliographical references. "Institute for Capacity Development." "September 2012." 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; IV. Empirical Results; A. FX Order Flow Induced by Stock and Bond Market Transactions; B. Order Flow Regression; C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate; D. Possible Alternative Explanations; 1. Hedging Activity; 2. Carry Trade Activity; V. Concluding Remarks; References; Tables; 1. Autocorrelations in foreign investors' net daily order flow. 2. Variable mnemonics and descriptions3. Influence of stock and bond market variables on FX flows; 4. FX order flow regression; 5. Determinants of FX swap order flow; Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks. English. Capital movements Thailand. Foreign exchange rates Thailand. Mouvements de capitaux Thaïlande. Taux de change Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange rates fast Thailand fast https://id.oclc.org/worldcat/entity/E39PBJcKHdfFMJFcHGFbMGMgKd Tables fast Loretan, Mico, author. Tientip Subhanij, author. International Monetary Fund. Institute for Capacity Development. has work: Private information, capital flows, and exchange rates (Text) https://id.oclc.org/worldcat/entity/E39PCGRGrHfd7vrGfvpTK3pRTd https://id.oclc.org/worldcat/ontology/hasWork 1-4755-6285-3 1-4755-0563-9 IMF working paper ; WP/12/213. FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568180 Volltext |
spellingShingle | Gyntelberg, Jacob Loretan, Mico Tientip Subhanij Private information, capital flows, and exchange rates / IMF working paper ; 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; IV. Empirical Results; A. FX Order Flow Induced by Stock and Bond Market Transactions; B. Order Flow Regression; C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate; D. Possible Alternative Explanations; 1. Hedging Activity; 2. Carry Trade Activity; V. Concluding Remarks; References; Tables; 1. Autocorrelations in foreign investors' net daily order flow. 2. Variable mnemonics and descriptions3. Influence of stock and bond market variables on FX flows; 4. FX order flow regression; 5. Determinants of FX swap order flow; Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks. Capital movements Thailand. Foreign exchange rates Thailand. Mouvements de capitaux Thaïlande. Taux de change Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange rates fast |
title | Private information, capital flows, and exchange rates / |
title_auth | Private information, capital flows, and exchange rates / |
title_exact_search | Private information, capital flows, and exchange rates / |
title_full | Private information, capital flows, and exchange rates / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
title_fullStr | Private information, capital flows, and exchange rates / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
title_full_unstemmed | Private information, capital flows, and exchange rates / prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij. |
title_short | Private information, capital flows, and exchange rates / |
title_sort | private information capital flows and exchange rates |
topic | Capital movements Thailand. Foreign exchange rates Thailand. Mouvements de capitaux Thaïlande. Taux de change Thaïlande. BUSINESS & ECONOMICS Finance. bisacsh Capital movements fast Foreign exchange rates fast |
topic_facet | Capital movements Thailand. Foreign exchange rates Thailand. Mouvements de capitaux Thaïlande. Taux de change Thaïlande. BUSINESS & ECONOMICS Finance. Capital movements Foreign exchange rates Thailand Tables |
url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568180 |
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