Open AccessBox-Jenkins transfer function framework applied to saving-investment nexus in the South African context
Author(s) -
Ntebogang Dinah Moroke
Publication year - 2015
Publication title -
journal of governance and regulation
Language(s) - English
Resource type - Journals
eISSN - 2306-6784
pISSN - 2220-9352
DOI - 10.22495/jgr_v4_i4_p7
Subject(s) - nexus (standard) , investment (military) , econometrics , quarter (canadian coin) , context (archaeology) , economics , unit root , investment function , capital (architecture) , capital investment , macroeconomics , geography , finance , computer science , political science , archaeology , production (economics) , politics , law , embedded system
This paper studied the relationship between investment and savings in South Africa for the period 1990 quarter 1 to 2014 quarter 3. The unit root test confirmed the non-stationarity of the series prior to first differencing. The correlation coefficient and the model assessing a full capacity mobility hypothesis were significant and passed all the diagnostic examinations. The estimated parameter provided evidence of imperfect capital mobility. ARIMAX (5, 1, 0) out-performed all the five models and was used for pre-whitening process. This model was later used to produce a two year forecasts of investment. The error forecast measure provided enough evidence to conclude that ARIMAX (5, 1, 0) provided valid forecasts. These results are recommended when embarking on future saving-investment plans in South Africa.