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Private Information, Capital Flows, and Exchange Rates

Private Information, Capital Flows, and Exchange Rates by Jacob Gyntelberg
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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.
International Monetary Fund; August 2012
28 pages; ISBN 9781475547771
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Title: Private Information, Capital Flows, and Exchange Rates
Author: Jacob Gyntelberg; Subhanij Tientip; Mico Loretan
 
ISBNs
1475547773
9781475505634
9781475547771
9781475562859