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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
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31 January 2019
20191548892800000
No. 104

Foreign Exchange Order Flows and the Thai Exchange Rate Dynamics

Jakree KoosakulNasha Ananchotikul

Abstract

Applying the microstructure approach to exchange rates, this paper aims to shed light on the price formation process in the Thai foreign exchange market using a unique supervisory dataset of daily foreign exchange transactions from all licensed dealers in Thailand. We examine the main drivers of different types of order flows and the effect of resident and non-resident customer order flows on the Thai exchange rate. The results suggest that non-resident order flows have an important influence on movements in the Thai baht, while resident order flows do not. Regarding investors' trading behavior, we find that non-resident order flows are driven by both fundamentals and movements of the Thai baht. Specifically, non-resident players appear to be ‘

Jakree Koosakul
Jakree Koosakul
International Monetary Fund
Nasha Ananchotikul
Nasha Ananchotikul
Kiatnakin Phatra Financial Group
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JEL: F31G15
Tags: fx order flowfx microstructureexchange ratethailand
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Jakree Koosakul
Jakree Koosakul
International Monetary Fund
Nasha Ananchotikul
Nasha Ananchotikul
Kiatnakin Phatra Financial Group

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