Analysis

[1] "株式平均利回り:株式平均利回り:第一部:加重平均利回り(%):株式会社日本取引所グループ"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                   0.66 0.65
2000 0.64 0.62 0.63 0.64 0.66 0.67 0.67 0.69 0.69 0.69 0.72 0.75
2001 0.78 0.79 0.80 0.73 0.70 0.74 0.82 0.86 0.98 0.94 0.96 0.99
2002 1.00 1.03 0.93 0.94 0.92 0.96 0.94 0.98 1.03 1.08 1.10 1.10
2003 1.09 1.10 1.14 1.16 1.11 1.04 1.03 1.01 0.94 0.91 0.96 0.95
2004 0.90 0.91 0.84 0.80 0.86 0.83 0.97 1.00 0.99 1.01 1.01 1.00
2005 0.97 0.96 0.94 0.98 1.00 0.99 1.15 1.10 1.02 0.96 0.89 0.83
2006 0.81 0.81 0.80 0.77 0.82 0.91 1.16 1.12 1.12 1.10 1.13 1.09
2007 1.05 1.02 1.05 1.06 1.05 1.04 1.17 1.29 1.32 1.27 1.36 1.36
2008 1.54 1.54 1.66 1.59 1.50 1.50 1.79 1.86 1.99 2.56 2.68 2.76
2009 2.79 2.99 3.01 2.74 2.59 2.46 2.17 2.04 2.09 2.18 2.29 2.19
2010 2.09 2.18 2.07 1.93 1.84 1.83 1.89 1.93 1.93 1.96 1.91 1.81
2011 1.75 1.71 1.85 1.93 2.10 2.19 2.10 2.33 2.40 2.40 2.47 2.45
2012 2.41 2.26 2.12 2.21 2.47 2.54 2.47 2.46 2.48 2.50 2.45 2.28
2013 2.06 1.93 1.81 1.68 1.62 1.82 1.67 1.72 1.67 1.66 1.61 1.56
2014 1.53 1.63 1.65 1.68 1.87 1.84 1.80 1.80 1.75 1.83 1.66 1.63
2015 1.65 1.58 1.49 1.46 1.57 1.60 1.61 1.63 1.80 1.74 1.66 1.69
2016 1.86 1.99 1.94 1.98 2.06 2.19 2.19 2.17 2.13 2.09 2.02 1.88
2017 1.86 1.86 1.84 1.92 1.92 1.94 1.91 1.91 1.88 1.79 1.73 1.70
2018 1.63 1.75 1.81 1.79 1.89 1.98 2.02 2.03 2.00 2.05 2.11 2.27
2019 2.39 2.33 2.33 2.30 2.45 2.48 2.43 2.54 2.42 2.36

民主党政権 第二次安倍内閣 白川日銀総裁 黒田日銀総裁 特記その他

  • 民主党政権 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.42032 -0.13666  0.02687  0.14954  0.36883 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.879339   0.063540  29.577 < 0.0000000000000002 ***
ID          0.013943   0.002769   5.036            0.0000126 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1946 on 37 degrees of freedom
Multiple R-squared:  0.4067,    Adjusted R-squared:  0.3906 
F-statistic: 25.36 on 1 and 37 DF,  p-value: 0.00001262



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28205, p-value = 0.08974
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.26846, p-value = 0.000000000000008286
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.7625, df = 1, p-value = 0.02909



    Box-Ljung test

data:  lm_residuals
X-squared = 30.524, df = 1, p-value = 0.00000003297

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.40633 -0.13026 -0.04037  0.15739  0.67198 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.6009991  0.0447650  35.765 < 0.0000000000000002 ***
ID          0.0070215  0.0009258   7.584      0.0000000000492 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2021 on 81 degrees of freedom
Multiple R-squared:  0.4153,    Adjusted R-squared:  0.408 
F-statistic: 57.52 on 1 and 81 DF,  p-value: 0.00000000004924



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.072289, p-value = 0.9829
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.18343, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0087354, df = 1, p-value = 0.9255



    Box-Ljung test

data:  lm_residuals
X-squared = 60.034, df = 1, p-value = 0.000000000000009326

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.63197 -0.27041 -0.02499  0.22310  0.85728 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.125050   0.092123  23.068 <0.0000000000000002 ***
ID          0.002306   0.002671   0.864               0.391    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3493 on 57 degrees of freedom
Multiple R-squared:  0.01292,   Adjusted R-squared:  -0.004402 
F-statistic: 0.7458 on 1 and 57 DF,  p-value: 0.3914



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15254, p-value = 0.5021
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.17088, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 15.023, df = 1, p-value = 0.0001062



    Box-Ljung test

data:  lm_residuals
X-squared = 48.701, df = 1, p-value = 0.000000000002981

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.4143 -0.1107 -0.0160  0.1346  0.3358 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.5477690  0.0400436  38.652 < 0.0000000000000002 ***
ID          0.0084162  0.0008589   9.799  0.00000000000000308 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1774 on 78 degrees of freedom
Multiple R-squared:  0.5518,    Adjusted R-squared:  0.546 
F-statistic: 96.01 on 1 and 78 DF,  p-value: 0.000000000000003079



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1375, p-value = 0.4383
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.212, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.5914, df = 1, p-value = 0.005865



    Box-Ljung test

data:  lm_residuals
X-squared = 63.859, df = 1, p-value = 0.000000000000001332
  • 特記その他
  1. 時系列データの特徴(誤差構造、負数の有無その他等)に関わらず線形回帰を求めている。よってあくまでも対象とした期間における線形回帰そしてその残差の傾向を確認しているのみであり結果の外挿は出来ない。
  2. 民主党政権:2009-09-16~2012-12-25
  3. 白川方明氏の日銀総裁就任期間:2008-04-09~2013-03-19