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'...

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Hauptverfasser: Gyntelberg, Jacob (VerfasserIn), Loretan, Mico (VerfasserIn), Tientip Subhanij (VerfasserIn)
Körperschaft: International Monetary Fund. Institute for Capacity Development
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: [Washington, D.C.] : International Monetary Fund, ©2012.
Schriftenreihe:IMF working paper ; WP/12/213.
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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

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