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Exchange rate fluctuations and international portfolio rebalancing in Thailand

Author: Jacob Gyntelberg; Mico Loretan; Tientip Subhanij; International Monetary Fund. Institute for Capacity Development.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2012.
Series: IMF working paper, WP/12/214.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jacob Gyntelberg; Mico Loretan; Tientip Subhanij; International Monetary Fund. Institute for Capacity Development.
ISBN: 9781475539899 1475539894
OCLC Number: 808812074
Notes: Title from PDF title page (IMF Web site, viewed Aug. 31, 2012).
"Institute for Capacity Development."
"September 2012."
Description: 1 online resource (19 pages).
Series Title: IMF working paper, WP/12/214.
Responsibility: prepared by Jacob Gyntelberg, Mico Loretan, and Tientip Subhanij.

Abstract:

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006. Higher returns in the stock market relative to a reference stock market are associated with net sales of equities by these investors and a depreciation of the Thai baht. Net purchases of Thai equities lead to an appreciation of the Thai baht. Foreign investors do not appear to hedge the foreign exchange risk related to their stock market positions.

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