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

Author

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  • Katleho Daniel Makatjane
  • Edward Kagiso Molefe
  • Roscoe Bertrum van Wyk
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.

Suggested Citation

  • Katleho Daniel Makatjane & Edward Kagiso Molefe & Roscoe Bertrum van Wyk, 2018. "The Analysis of the 2008 US Financial Crisis: An Intervention Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 10(1), pages 59-68.
    • Handle: RePEc:rnd:arjebs:v:10:y:2018:i:1:p:59-68
    DOI: 10.22610/jebs.v10i1(J).2089
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    References listed on IDEAS

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    Cited by:

    1. Azasakhe Nkcubeko Nomsobo & Roscoe Bertrum van Wyk, 2018. "The Impact of Short- Term Interest Rates on Bank Funding Costs," Journal of Economics and Behavioral Studies, AMH International, vol. 10(3), pages 141-148.

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