An ARIMA-Intervention Analysis Model for the Financial Crisis in China's Manufacturing Industry

Abstract

Triggered by the subprime mortgage crisis in the United States (U.S.), a financial tsunami has spread rapidly around the globe, from the U.S. to Europe and the rest of the world, causing the world economy to enter a recession. China is no exception, and has suffered a sharp reduction in the growth of its export and manufacturing sectors. In this paper, we attempt to model and analyze the impact of financial crisis on the manufacturing industry in China using data collected from March 2005 to November 2008 by the China Statistical Databases of the National Bureau of Statistics of China. The results indicate that China's manufacturing industry may have to tolerate a significant negative effect caused by the global financial crisis over a period of time, with its gross industrial output value declining continually throughout 2008 and 2009 before reaching a state of equilibrium. The intervention effect is described in this study as temporary but immediate and abrupt. It is found that the ARIMA-Intervention model is more precise at explaining and analyzing the intervention effects of the financial tsunami.

The Influence of the Middle East Respiratory Syndrome Outbreak on Online and Offline Markets for Retail Sales

“…In this study, only one external dummy variable is considered for the MERS outbreak. This method has become a standard model for evaluating the impact of intervention from time-dependent data, irrespective of whether an external shock is planned or unexpected, [75][76][77]. That is, it is useful for identifying the net impact and its duration after controlling for trends and seasonal factors.…”

“…That is, it is useful for identifying the net impact and its duration after controlling for trends and seasonal factors. This model has been employed to investigate external intervention effects such as flood control policy [74], institutional urban transition [76], stock price change [73], financial crisis [75], and government policy on importing Indian gold [77]. Therefore, we finally employ the ARIMA with intervention model to determine the heterogeneous net impacts and their duration on sales of retail goods in both offline and online markets.…”

The swine flu and its impacts on tourism in Brunei

“…In this study, we have used the Box and Jenkins (1970) ARIMA and Box and Tiao (1975) ITSA methods to measure the effect of swine flu in Brunei. This is because the ITSA method is appropriate for explaining the dynamics and the impact of interruptions and changes of TS in a more detailed and accurate manner (Baldigara & Mamula, 2015;Park, Lee, & Song, 2016;Aboagye-Sarfo et al, 2016;Chang & Lin, 1997;Biglan, Ary, & Wagenaar, 2000;Ferrand, Kelton, Guo, Levy, & Yu, 2011;Chung et al, 2009;Wu & Hayashi, 2014). The ARIMA and ITSA methods can provide an appropriate measure of the impacts of crisis events, which advise practical actions to overcome problems associated with tourism, economic and other business matters.…”

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

“…The widespread density of this crisis had spillovers that affected many areas in the economy such as financial markets, commodity markets and real economy (Orlowski, 2008). Chung, Ip and Chan (2009) emphasized that during 2007-2008, the national government altered endeavours not to significantly disturb mortgage markets. For that reason, the crisis had gone through five distinct stages.…”