傅里叶分析预测商业周期外文文献.pdf

International Business Economics Research Journal – July/August 2016 Volume 15, Number 4 Forecasting The South African Business Cycle Using Fourier Analysis Daniel Thomson, North-West University, South Africa Gary van Vuuren, North-West University, South Africa ABSTRACT A Fourier transform analysis is proposed to determine the duration of t he South African business cycle, measured using log changes in nominal gross domestic product (GDP). The most prominent cycle (two smaller, but significant, cycles are also present in the time series) is found to be 7.1 years, confirmed using Empirical Mode Decomposition. The three dominant cycles are used to estimate a 3.5 year forecast of log monthly nominal GDP and these forecasts compared to observed (historical) data. Promising forecast potential is found with this significantly-reduced number of cycle components than embedded in the original series. Fourier analysis is effective in estimating the length of the business cycle, as well as in determining the current position (phase) of the economy in the business cycle. Keywords : Fourier; Hodrick Prescott Filter; Baxter-King Filter; Empirical Mode Decomposition 1. INTRODUCTION n finance and economics, the predominant method of analysing time-series data is usually to view these I data in the time-domain, i.e., analysing changes of a series as it progresses through time. The problem in using only this approach to study financial datasets is that all realisations are recorded at a predetermined frequency. This frequency corresponds to whichever period the realisations are recorded at and the implicit assumption is made that the relevant frequency to study the behaviour of the