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

Table 1

Descriptive statistics of the reconstructed series and the residue for SADC exchange rate markets derived through EEMD.

	Pearson correlation coefficient				Kendall tau-b				Variance as % of observed				Variance as % of the sum of all IMFs and residue
Country	HFRQ	MFRQ	LFRQ	RESID	HFRQ	MFRQ	LFRQ	RESID	HFRQ	MFRQ	LFRQ	RESID	HFRQ	MFRQ	LFRQ	RESID
Angola	0.49	0.56	−0.04	0.26	0.00	−0.14	0.15	−0.11	62.87	35.96	104.92	144.79	62.87	35.95	104.91	144.78
Botswana	0.06	0.02	0.63	0.94	0.04	0.08	0.46	0.74	0.22	4.53	7.14	77.17	0.22	4.53	7.14	77.14
Comoros	0.09	0.32	0.72	0.85	0.06	0.22	0.46	0.60	0.75	11.13	16.82	48.32	0.75	11.13	16.81	48.29
Dr Congo	0.03	0.05	−0.23	0.94	0.03	0.02	−0.26	0.88	0.10	1.74	15.47	133.16	0.10	1.74	15.46	133.08
Eswatini	0.08	0.18	0.69	0.87	0.04	0.09	0.53	0.65	0.50	8.74	16.49	57.99	0.50	8.73	16.48	57.96
Lesotho	0.08	0.18	0.69	0.87	0.04	0.09	0.53	0.65	0.50	8.74	16.49	57.99	0.50	8.73	16.48	57.96
Madagascar	0.06	0.08	0.41	0.94	0.08	0.10	0.18	0.74	0.20	2.51	7.47	86.37	0.20	2.51	7.46	86.33
Malawi	0.03	−0.02	0.35	0.97	0.02	−0.04	0.01	0.86	0.04	0.80	4.67	90.95	0.04	0.80	4.66	90.89
Mauritius	0.12	0.45	0.19	0.74	0.08	0.36	0.13	0.49	1.10	24.87	18.00	83.27	1.10	24.86	17.99	83.22
Mozambique	0.03	0.09	0.45	0.88	0.02	−0.04	0.01	0.79	0.15	5.40	16.04	83.03	0.15	5.39	16.03	82.98
Namibia	0.08	0.18	0.69	0.87	0.04	0.09	0.53	0.65	0.50	8.74	16.49	57.99	0.50	8.73	16.48	57.96
S. Africa	0.08	0.18	0.69	0.87	0.04	0.09	0.53	0.65	0.50	8.74	16.49	57.99	0.50	8.73	16.48	57.96
Seychelles	0.06	0.20	0.40	0.87	0.07	0.16	0.23	0.60	0.41	5.78	19.09	78.57	0.41	5.78	19.08	78.51
Tanzania	0.04	−0.21	0.11	0.98	0.03	−0.14	−0.02	0.92	0.10	1.05	3.57	104.69	0.10	1.05	3.57	104.63
Zambia	0.07	−0.24	0.40	0.91	0.05	−0.06	0.09	0.57	0.43	9.61	12.44	103.79	0.43	9.61	12.43	103.74

HFRQ = high-frequency series, MFRQ = medium frequency series, LFRQ = low-frequency series, and RESID = residue.