Hidden Bibliographic Details
Other authors / contributors: | Loretan, Mico, author.
Tientip Subhanij, author.
International Monetary Fund. Institute for Capacity Development.
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ISBN: | 1475562853 9781475562859
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Digital file characteristics: | data file
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Notes: | Title from PDF title page (IMF Web site, viewed Aug. 30, 2012). "Institute for Capacity Development." "September 2012." Includes bibliographical references.
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Summary: | 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.
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