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

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-22
Author(s):  
Anokye M. Adam ◽  
Emmanuel N. Gyamfi ◽  
Kwabena A. Kyei ◽  
Simiso Moyo ◽  
Ryan S. Gill
Keyword(s):  
Exchange Rates ◽  
Information Flow ◽  
Monetary Union ◽  
Ensemble Empirical Mode Decomposition ◽  
Transfer Entropy ◽  
Economic Policies ◽  
Monetary Unions ◽  
Low Frequencies ◽  
Southern Africa Development Community ◽  
Effective Transfer

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.

scholarly journals Effective transfer entropy approach to information flow between exchange rates and stock markets

2014 ◽  
Vol 68 ◽  
pp. 180-185 ◽  
Author(s):  
Ahmet Sensoy ◽  
Cihat Sobaci ◽  
Sadri Sensoy ◽  
Fatih Alali
Keyword(s):  
Exchange Rates ◽  
Information Flow ◽  
Stock Markets ◽  
Transfer Entropy ◽  
Effective Transfer

scholarly journals Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Prince Mensah Osei ◽  
Anokye M. Adam
Keyword(s):  
Stock Market ◽  
Information Flow ◽  
Information Exchange ◽  
Oil And Gas ◽  
Transfer Entropy ◽  
Stock Market Index ◽  
Insurance Sector ◽  
Market Index ◽  
The Individual ◽  
Effective Transfer

We quantify the strength and the directionality of information transfer between the Ghana stock market index and its component stocks as well as observe the same among the individual stocks on the market using transfer entropy. The information flow between the market index and its components and among individual stocks is measured by the effective transfer entropy of the daily logarithm returns generated from the daily market index and stock prices of 32 stocks ranging from 2nd January 2009 to 16th February 2018. We find a bidirectional and unidirectional flow of information between the GSE index and its component stocks, and the stocks dominate the information exchange. Among the individual stocks, SCB is the most active stock in the information exchange as it is the stock that receives the highest amount of information, but the most informative source is EGL (an insurance company) that has the highest net information outflow while the most information sink is PBC that has the highest net information inflow. We further categorize the stocks into 9 stock market sectors and find the insurance sector to be the largest source of information which confirms our earlier findings. Surprisingly, the oil and gas sector is the information sink. Our results confirm the fact that other sectors including oil and gas mitigate their risk exposures through insurance companies and are always expectant of information originating from the insurance sector in relation to regulatory compliance issues. It is our firm conviction that this study would allow stakeholders of the market to make informed buy, sell, or hold decisions.

scholarly journals RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy

SoftwareX ◽  
2019 ◽  
Vol 10 ◽  
pp. 100265 ◽  
Author(s):  
Simon Behrendt ◽  
Thomas Dimpfl ◽  
Franziska J. Peter ◽  
David J. Zimmermann
Keyword(s):  
Time Series ◽  
Information Flow ◽  
Transfer Entropy ◽  
Effective Transfer

scholarly journals Information Flow Analysis between EPU and Other Financial Time Series

Entropy ◽  
2020 ◽  
Vol 22 (6) ◽  
pp. 683
Author(s):  
Can-Zhong Yao
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Information Flow ◽  
Bilateral Trade ◽  
Financial Time Series ◽  
Flow Analysis ◽  
Transfer Entropy ◽  
Policy Uncertainty ◽  
Novel Concept ◽  
Effective Transfer

We investigate the strength and direction of information flow among economic policy uncertainty (EPU), US imports and exports to China, and the CNY/US exchange rate by using the novel concept of effective transfer entropy (ETE) with a sliding window methodology. We verify that this new method can capture dynamic orders effectively by validating them with the linear transfer entropy (TE) and Granger causality methods. Analysis shows that since 2016, US economic policy has contributed substantially to China-US bilateral trade and that China is making passive adjustments based on this trade volume. Unlike trade market conditions, China’s economic policy has significantly influenced the exchange rate fluctuation since 2016, which has, in turn, affected US economic policy.

scholarly journals Information Flow Between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: A Transfer Entropy Approach

2021 ◽  
Vol 12 (2) ◽  
pp. 353-376
Author(s):  
Kingstone Nyakurukwa
Keyword(s):  
Information Flow ◽  
Stock Exchange ◽  
Tail Dependence ◽  
Point Of View ◽  
Transfer Entropy ◽  
Significant Information ◽  
Fund Managers ◽  
Johannesburg Stock Exchange ◽  
Entropy Estimate ◽  
Effective Transfer

The purpose of this paper is to determine whether there was information flow between the stock markets of Zimbabwe and South Africa during the time the Zimbabwean economy was dollarized. The author used econophysics-based Shannonian and Rényian transfer entropy estimates to establish the flow of information between the markets in tranquil periods as well as at the tails of return distributions. The only significant Shannonian transfer entropy estimate was from Johannesburg Stock Exchange (JSE) resources index to Zimbabwe Stock Exchange (ZSE) mining index. The findings show that the only significant tail dependence was between JSE All Share Index (JALSH) and ZSE Mining on the one hand, and between JSE Resources and ZSE Mining on the other hand. However, the magnitudes of the effective transfer entropy values are relatively low, showing that there are weak linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange. The lack of significant information flows between the exchanges of the two countries offer opportunities to fund managers for portfolio diversification. From a government point of view, it is imperative that the tempo of economic and political reform be accelerated so that integration between the markets can be fast-tracked. Integrated markets will benefit Zimbabwe as this will reduce the cost of equity and accelerate economic growth.

scholarly journals Cross-Sectoral Information Transfer in the Chinese Stock Market around Its Crash in 2015

Entropy ◽  
2018 ◽  
Vol 20 (9) ◽  
pp. 663 ◽  
Author(s):  
Xudong Wang ◽  
Xiaofeng Hui
Keyword(s):  
Stock Market ◽  
Information Flow ◽  
Information Transfer ◽  
Spanning Trees ◽  
Information Source ◽  
Kernel Density ◽  
Transfer Entropy ◽  
Chinese Stock Market ◽  
Technology Sector ◽  
Effective Transfer

This paper applies effective transfer entropy to research the information transfer in the Chinese stock market around its crash in 2015. According to the market states, the entire period is divided into four sub-phases: the tranquil, bull, crash, and post-crash periods. Kernel density estimation is used to calculate the effective transfer entropy. Then, the information transfer network is constructed. Nodes’ centralities and the directed maximum spanning trees of the networks are analyzed. The results show that, in the tranquil period, the information transfer is weak in the market. In the bull period, the strength and scope of the information transfer increases. The utility sector outputs a great deal of information and is the hub node for the information flow. In the crash period, the information transfer grows further. The market efficiency in this period is worse than that in the other three sub-periods. The information technology sector is the biggest information source, while the consumer staples sector receives the most information. The interactions of the sectors become more direct. In the post-crash period, information transfer declines but is still stronger than the tranquil time. The financial sector receives the largest amount of information and is the pivot node.

scholarly journals Dealing fairly with trade imbalances in monetary unions

2021 ◽  
Vol 20 (1) ◽  
pp. 45-66
Author(s):  
Marco Meyer
Keyword(s):  
Economic Policy ◽  
Monetary Union ◽  
Trade Deficit ◽  
Current Situation ◽  
Institutional Arrangements ◽  
Monetary Unions ◽  
Member States ◽  
Trade Imbalances ◽  
Theories Of Justice ◽  
The Impact

Politicians around the globe wrangle about how to deal with trade imbalances. In the Eurozone, members running a trade deficit accuse members running a surplus of forcing them into deficit. Yet political philosophers have largely overlooked issues of justice related to trade imbalances. I address three such issues. First, what, if anything, is wrong with trade imbalances? I argue that in monetary unions, trade imbalances can lead to domination between member states. Second, who should bear the burden of rebalancing trade? I argue that surplus and deficit countries should share that burden. The current situation placing the burden squarely on deficit countries is unjust. Third, which institutional arrangements should monetary unions adopt to regulate trade balances? Monetary unions can either reduce trade imbalances within the monetary union, neutralise the impact of trade imbalances on the economic sovereignty of member states, or delegate economic policy affecting trade balances to a legitimate supranational institution. The Eurozone must adopt one of these options to prevent member states from domination. Which option protects members best against domination depends on what makes interference between members arbitrary, an unresolved question in republican theories of justice.

scholarly journals The Fiscal Compact and the European Constitutions: ‘Europe Speaking German’

2012 ◽  
Vol 8 (1) ◽  
pp. 1-7 ◽  
Author(s):  
LB ◽  
JHR
Keyword(s):  
European Union ◽  
Czech Republic ◽  
Monetary Union ◽  
Euro Area ◽  
Economic And Monetary Union ◽  
Economic Policies ◽  
The European Union ◽  
The Czech Republic ◽  
The United Kingdom ◽  
Fiscal Compact

In between the writing of this editorial and the publication of this issue of EuConst, the Treaty on Stability, Coordination and Governance in the Economic and Monetary Union, in everyday parlance the ‘Fiscal Compact’, will have been signed by the representatives of the governments of the contracting parties — the member states of the European Union minus the United Kingdom and the Czech Republic. The Fiscal Compact is intended to foster budgetary discipline, to strengthen the coordination of economic policies and to improve the governance of the euro area.

Sign in / Sign up

Export Citation Format

Share Document