The Analysis of the 2008 US Financial Crisis: An Intervention Approach

  • Katleho Daniel Makatjane Basetsana Consultants, Mahikeng, South Africa
  • Edward Kagiso Molefe North West Department of Finance, Mahikeng, South Africa
  • Roscoe Bertrum van Wyk Nelson Mandela University, Port Elizabeth, South Africa
DOI: https://doi.org/10.22610/jebs.v10i1(J).2089
Keywords: Real exchange rate, SARIMA intervention, South Africa, Financial crisis

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. 

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Published
2018-03-15
How to Cite
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(J), 59-68. https://doi.org/10.22610/jebs.v10i1(J).2089
Issue
Vol 10 No 1(J) (2018)
Section
Research Paper

Copyright (c) 2018 Katleho Daniel Makatjane, Edward Kagiso Molefe, Roscoe Bertrum van Wyk

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