Template-type: ReDIF-Paper 1.0
Author-Name: Jacob Gyntelberg
Author-Name-First: Jacob
Author-Name-Last: Gyntelberg
Author-Person: pgy10
Author-Name: Dr. Mico Loretan
Author-Name-First: Mico
Author-Name-Last: Loretan
Author-Person: plo360
Author-Name: Tientip Subhanij
Author-Name-First: Tientip
Author-Name-Last: Subhanij
Title: Private information, capital flows, and exchange rates
Abstract: We demonstrate empirically that not all international capital flows influence exchange rates equally. Capital flows induced by foreign investors' transactions in local stock markets have an impact on exchange rates that is both economically significant and permanent, whereas capital flows induced by foreign investors' transactions in the local government bond market do not. We relate the differences in the price impacts 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 undertaken by foreign investors in the stock, bond, and onshore FX markets of Thailand.
Length: 25 pages
Creation-Date: 2015
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2015/working_paper_2015_12
File-Format: text/html
Number: 2015-12
Classification-JEL: C22, E58, F31, F37, G14
Keywords: Order flow, private information, exchange rate models, market microstructure, emerging markets
Handle: RePEc:snb:snbwpa:2015-12