Private information, capital flows, and exchange rates

Jacob Gyntelberg, Mico Loretan and Tientip Subhanij

Journal of International Money and Finance, 2018, vol. 81, issue C, 40-55

Abstract: 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 economically significant and permanent, whereas capital flows induced by investors’ transactions in local government bond markets do not. The differences in price impacts are related to differences in the amounts of private information conveyed by these flows. Our findings are based on daily-frequency data on all transactions undertaken by foreign investors in the stock, bond, and onshore FX markets of Thailand over a period of nearly two years.

Keywords: Order flow; Private information; Exchange rate models; Market microstructure; Emerging markets (search for similar items in EconPapers)
JEL-codes: C22 E58 F31 F37 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560617302036
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Private information, capital flows, and exchange rates (2015)
Working Paper: Private Information, Capital Flows, and Exchange Rates (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:81:y:2018:i:c:p:40-55

DOI: 10.1016/j.jimonfin.2017.10.005

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().