The analysis of the 2008 US financial crisis : an intervention approach
Date
2018
Journal Title
Journal ISSN
Volume Title
Publisher
International Foundation for Research and Development
Abstract
The current study investigates the impact of the 2008 US financial crises on the real exchange rate in South Africa. The data used in this empirical analysis is for the period from January 2000 to June 2017. The Seasonal autoregressive integrated moving average (SARIMA) intervention charter was used to carry out the analysis. Results revealed that the financial crises period in South Africa occurred in March 2008 and significantly affected the exchange rate. Hence, the impact pattern was abrupt. Using the SARIMA model as a benchmark, four error metrics; to be precise mean absolute error (MAE), mean absolute percentage error (MAPE), mean error (ME) and Mean percentage error (MPE) was used to assess the performance of the intervention model and SARIMA model. The results of the SARIMA intervention model produced better forecasts as compared to that one of SARIMA model.
Description
CITATION: Makatjane, K. D., Molefe, E. K. & Van Wyk, R. B. 2018. The analysis of the 2008 US financial crisis : an intervention approach. Journal of Economics and Behavioral Studies, 10(1):59-68, doi:10.22610/jebs.v10i1.2089.
The original publication is available at https://ojs.amhinternational.com
The original publication is available at https://ojs.amhinternational.com
Keywords
Real exchange rate -- South Africa, Foreign exchange rates -- South Africa, Global Financial Crisis, 2008-2009, Financial crises -- United States
Citation
Makatjane, K. D., Molefe, E. K. & Van Wyk, R. B. 2018. The analysis of the 2008 US financial crisis : an intervention approach. Journal of Economics and Behavioral Studies, 10(1):59-68, doi:10.22610/jebs.v10i1.2089