A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community

The desire to form monetary unions among regional blocs in Africa has necessitated the need to assess the degree of financial systems interdependencies in Africa economic blocs for their suitability to have harmonised economic policies of eventual monetary unions. In this regard, SADC has pursued po...

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Autores principales:	Anokye M. Adam, Emmanuel N. Gyamfi, Kwabena A. Kyei, Simiso Moyo, Ryan S. Gill
Formato:	article
Lenguaje:	EN
Publicado:	Hindawi-Wiley 2021
Materias:	Electronic computers. Computer science QA75.5-76.95
Acceso en línea:	https://doaj.org/article/b5e208bf84c142f69f748a361307cf76
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spelling	oai:doaj.org-article:b5e208bf84c142f69f748a361307cf762021-11-29T00:56:19ZA New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community1099-052610.1155/2021/3096620https://doaj.org/article/b5e208bf84c142f69f748a361307cf762021-01-01T00:00:00Zhttp://dx.doi.org/10.1155/2021/3096620https://doaj.org/toc/1099-0526The desire to form monetary unions among regional blocs in Africa has necessitated the need to assess the degree of financial systems interdependencies in Africa economic blocs for their suitability to have harmonised economic policies of eventual monetary unions. In this regard, SADC has pursued policies to harmonise and integrate its financial system as a precursor to its intended monetary union. However, the ensuing risk among exchange rates of economies in SADC is presumed to rise during severe uncertainties. This study examines the degree of asymmetry and nonlinear directional causality between exchange rates in SADC in the frequency domain. We employ both the ensemble empirical mode decomposition (EEMD) and the Rényi effective transfer entropy techniques to investigate the multiscale information that might be disregarded and further quantify the directional flow of information. Analysis of the study is presented for four frequency-domains: high-, medium-, and low frequencies, representing short-, medium-, and long-terms, respectively, in addition to the residue (fundamental feature). We find a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between exchange rates in SADC for the sampled period. The study reveals a significant positive information flow in the high frequency, but negative flow in the medium and low frequencies. In addition, we gauge a bidirectional significant negative information flow within all the 15 economies for the residue. This suggests a higher risk of uncertainties in exchange rates of SADC. Our findings for low probability events at multiscales have implications for the direction of the future of the SADC monetary union. This calls for further sustained policy harmonisation in the region.Anokye M. AdamEmmanuel N. GyamfiKwabena A. KyeiSimiso MoyoRyan S. GillHindawi-WileyarticleElectronic computers. Computer scienceQA75.5-76.95ENComplexity, Vol 2021 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Electronic computers. Computer science QA75.5-76.95
spellingShingle	Electronic computers. Computer science QA75.5-76.95 Anokye M. Adam Emmanuel N. Gyamfi Kwabena A. Kyei Simiso Moyo Ryan S. Gill A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
description	The desire to form monetary unions among regional blocs in Africa has necessitated the need to assess the degree of financial systems interdependencies in Africa economic blocs for their suitability to have harmonised economic policies of eventual monetary unions. In this regard, SADC has pursued policies to harmonise and integrate its financial system as a precursor to its intended monetary union. However, the ensuing risk among exchange rates of economies in SADC is presumed to rise during severe uncertainties. This study examines the degree of asymmetry and nonlinear directional causality between exchange rates in SADC in the frequency domain. We employ both the ensemble empirical mode decomposition (EEMD) and the Rényi effective transfer entropy techniques to investigate the multiscale information that might be disregarded and further quantify the directional flow of information. Analysis of the study is presented for four frequency-domains: high-, medium-, and low frequencies, representing short-, medium-, and long-terms, respectively, in addition to the residue (fundamental feature). We find a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between exchange rates in SADC for the sampled period. The study reveals a significant positive information flow in the high frequency, but negative flow in the medium and low frequencies. In addition, we gauge a bidirectional significant negative information flow within all the 15 economies for the residue. This suggests a higher risk of uncertainties in exchange rates of SADC. Our findings for low probability events at multiscales have implications for the direction of the future of the SADC monetary union. This calls for further sustained policy harmonisation in the region.
format	article
author	Anokye M. Adam Emmanuel N. Gyamfi Kwabena A. Kyei Simiso Moyo Ryan S. Gill
author_facet	Anokye M. Adam Emmanuel N. Gyamfi Kwabena A. Kyei Simiso Moyo Ryan S. Gill
author_sort	Anokye M. Adam
title	A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
title_short	A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
title_full	A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
title_fullStr	A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
title_full_unstemmed	A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community
title_sort	new eemd-effective transfer entropy-based methodology for exchange rate market information transmission in southern africa development community
publisher	Hindawi-Wiley
publishDate	2021
url	https://doaj.org/article/b5e208bf84c142f69f748a361307cf76
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A New EEMD-Effective Transfer Entropy-Based Methodology for Exchange Rate Market Information Transmission in Southern Africa Development Community

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