Western boundary currents are driven by zonally integrated wind-stress curl over the width of subtropical basins. This cross-basin integration is interrupted in the South Indian Ocean where Madagascar presents a formidable barrier. Nevertheless, a western boundary current has been thought to exist in the Mozambique Channel, the Mozambique Current. Recent observations have however shown that no such current exists and that the flow in the channel instead consists of a train of eddies. Is this western boundary anomaly due to the presence of Madagascar? We have used a primitive equations model to investigate the flow in the South West Indian Ocean as if there were no Madagascar. We show that a normal, continuous western boundary current is then formed that constitutes a continuum with the Agulhas Current. The presence of Madagascar is shown to affect the frequency of inter-ocean exchange events south of Africa.