Private Information, Capital Flows, and Exchange Rates

WPIEA2012213 Image
Price:  $18.00

Author/Editor: Jacob Gyntelberg, Mico Loretan, Subhanij Tientip
Release Date: © August, 2012
ISBN : 978-1-47550-563-4
Stock #: WPIEA2012213
Stock Status: On back-order

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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.


Bond markets , Capital markets , Exchange markets , Financial institutions and markets

More publications in this series: Working Papers

More publications by: Jacob Gyntelberg ; Mico Loretan ; Subhanij Tientip