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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.

Finance --- Business & Economics --- International Finance --- Foreign exchange rates. --- Foreign exchange. --- Cambistry --- Currency exchange --- Exchange, Foreign --- Foreign currency --- Foreign exchange problem --- Foreign money --- Forex --- FX (Finance) --- International exchange --- Exchange rates --- Fixed exchange rates --- Flexible exchange rates --- Floating exchange rates --- Fluctuating exchange rates --- Foreign exchange --- Rates of exchange --- Rates --- International finance --- Currency crises --- Capital movements --- Foreign exchange rates --- E-books --- Capital flight --- Capital flows --- Capital inflow --- Capital outflow --- Flight of capital --- Flow of capital --- Movements of capital --- Balance of payments --- Finance: General --- Foreign Exchange --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- Central Banks and Their Policies --- International Finance Forecasting and Simulation --- Information and Market Efficiency --- Event Studies --- General Financial Markets: General (includes Measurement and Data) --- International Financial Markets --- Currency --- Stock markets --- Securities markets --- Currency markets --- Financial markets --- Stock exchanges --- Capital market --- Foreign exchange market --- Thailand

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Zonder onderwerpscode: financiewezen

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Zonder onderwerpscode: financiewezen

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