Content

• Source:日本銀行,FRED
• マネーストック:2004年3月以前はマネーサプライ

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分析対象期間
[1] "2014年07月~2019年06月"

• 原系列および一階差分系列の単位根検定

$`マネタリーベース平均残高:兆円`

    ADF test

data:  x
ADF(2) = -0.038513, p-value = 0.9948
alternative hypothesis: true delta is less than 0
sample estimates:
       delta 
-0.001437752 


$`M2/平/マネーストック:兆円`

    ADF test

data:  x
ADF(2) = -2.7177, p-value = 0.2337
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.3249002 


$`マネタリーベース平均残高:兆円:Diff(lag=1)`

    ADF test

data:  x
ADF(2) = -3.701, p-value = 0.03028
alternative hypothesis: true delta is less than 0
sample estimates:
    delta 
-1.039276 


$`M2/平/マネーストック:兆円:Diff(lag=1)`

    ADF test

data:  x
ADF(1) = -8.8834, p-value = 0.000000003039
alternative hypothesis: true delta is less than 0
sample estimates:
    delta 
-1.326887 

• 原系列間の共和分検定

######################################## 
# Phillips and Ouliaris Unit Root Test # 
######################################## 

Test of type Pu 
detrending of series none 


Call:
lm(formula = z[, 1] ~ z[, -1] - 1)

Residuals:
    Min      1Q  Median      3Q     Max 
-133.30  -53.51   18.27   54.44   71.08 

Coefficients:
        Estimate Std. Error t value            Pr(>|t|)    
z[, -1] 0.429196   0.009094   47.19 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 67.29 on 59 degrees of freedom
Multiple R-squared:  0.9742,    Adjusted R-squared:  0.9738 
F-statistic:  2227 on 1 and 59 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 0.1503 

Critical values of Pu are:
                  10pct    5pct    1pct
critical values 20.3933 25.9711 38.3413

• 相互相関関数

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分析対象期間
[1] "2014年07月~2019年06月"

• 原系列および一階差分系列の単位根検定

$`MB Ratio:Japan to USA`

    ADF test

data:  x
ADF(2) = -1.8408, p-value = 0.6717
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.1644918 


$`Japan / U.S. Foreign Exchange Rate:Japanese Yen to One U.S. Dollar,Not Seasonally Adjusted`

    ADF test

data:  x
ADF(1) = -2.9461, p-value = 0.1564
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.1799164 


$`MB Ratio:Japan to USA:Diff(lag=1)`

    ADF test

data:  x
ADF(1) = -7.973, p-value = 0.00000004313
alternative hypothesis: true delta is less than 0
sample estimates:
    delta 
-1.464018 


$`Japan / U.S. Foreign Exchange Rate:Japanese Yen to One U.S. Dollar,Not Seasonally Adjusted:Diff(lag=1)`

    ADF test

data:  x
ADF(0) = -5.6056, p-value = 0.0001
alternative hypothesis: true delta is less than 0
sample estimates:
     delta 
-0.7167597 

• 原系列間の共和分検定

######################################## 
# Phillips and Ouliaris Unit Root Test # 
######################################## 

Test of type Pu 
detrending of series none 


Call:
lm(formula = z[, 1] ~ z[, -1] - 1)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.4717 -0.3314  0.1023  0.2401  0.5270 

Coefficients:
         Estimate Std. Error t value            Pr(>|t|)    
z[, -1] 0.0096515  0.0003495   27.62 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3047 on 59 degrees of freedom
Multiple R-squared:  0.9282,    Adjusted R-squared:  0.927 
F-statistic: 762.7 on 1 and 59 DF,  p-value: < 0.00000000000000022


Value of test-statistic is: 0.3005 

Critical values of Pu are:
                  10pct    5pct    1pct
critical values 20.3933 25.9711 38.3413

• 相互相関関数

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