Series: IMF Working Papers
Author(s): Jacob Gyntelberg , Subhanij Tientip , and Mico Loretan
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2012
Keywords: Foreign exchange market, equity market, portfolio rebalancing, stock market, exchange rate, foreign exchange, financial institutions,
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 t...