International Journal of Management, Accounting and Economics
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Volume 3, No. 12, December 2016 Pages: 797 - 805
Intervention Analysis of Daily GBP-USD Exchange Rates Occasioned by BREXIT
Ette Harrison Etuk , Eberechi Humphrey Amadi
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This work concerns itself with the intervention analysis of the British pound, GBP, and the United States dollar, USD.It has been observed that the GBP has fallen sharply after June 23, 2016 relative to the USD. It is being speculated that this is due to the recent exit of Great Britain from the European Union EU. A realization of the daily exchange rate series from 17th March to 12th September. 2016 is analyzed by ARIMA methods. The intervention point is June 23, 2016, after which there is a sharp fall in the relative value of the GBP. This fall is shown to be statistically significant. The pre-intervention series is observed to follow an ARIMA(1,1,0) model. Following the nature of this fall, an adequate intervention model has been proposed and fitted.
GBP, USD, exchange rates, ARIMA modeling, intervention analysis.
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