文章基本信息

标题：The Analysis of the 2008 US Financial Crisis: An Intervention Approach
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作者：Katleho Daniel Makatjane ; Edward Kagiso Molefe ; Roscoe Bertrum van Wyk 等
期刊名称：Journal of Economics and Behavioral Studies
电子版ISSN：2220-6140
出版年度：2018
卷号：10
期号：1
页码：59-68
DOI：10.22610/jebs.v10i1(J).2089
语种：English
出版社：International Foundation for Research and Development (IFRD)
摘要：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.
关键词：Real exchange rate;SARIMA intervention;South Africa;Financial crisis