Analysis

[1] "株式平均利回り:株式平均利回り:第一部:単純平均利回り(%):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                                                   0.87 0.87
2000 0.86 0.84 0.84 0.85 0.85 0.85 0.86 0.94 0.95 0.99 1.02 1.04
2001 1.10 1.10 1.11 1.04 1.00 1.03 1.10 1.14 1.29 1.23 1.25 1.30
2002 1.33 1.35 1.24 1.24 1.21 1.24 1.20 1.26 1.29 1.36 1.39 1.42
2003 1.39 1.37 1.41 1.38 1.33 1.26 1.23 1.22 1.15 1.12 1.18 1.18
2004 1.12 1.13 1.04 0.98 1.06 1.00 1.11 1.15 1.14 1.15 1.17 1.16
2005 1.11 1.07 1.03 1.07 1.09 1.08 1.20 1.17 1.11 1.07 0.99 0.92
2006 0.88 0.90 0.91 0.88 0.93 1.03 1.19 1.16 1.16 1.16 1.21 1.16
2007 1.13 1.09 1.12 1.13 1.13 1.12 1.22 1.34 1.38 1.33 1.44 1.46
2008 1.67 1.67 1.78 1.71 1.62 1.61 1.79 1.85 1.98 2.50 2.50 2.52
2009 2.54 2.70 2.69 2.51 2.39 2.22 1.97 1.88 1.90 1.99 2.10 2.05
2010 1.98 2.03 1.93 1.81 1.82 1.83 1.88 1.95 1.94 1.99 1.97 1.84
2011 1.76 1.72 1.85 1.89 2.01 2.07 1.99 2.16 2.19 2.19 2.26 2.24
2012 2.18 2.07 1.96 2.03 2.24 2.30 2.24 2.23 2.26 2.27 2.22 2.08
2013 1.91 1.83 1.69 1.60 1.55 1.75 1.62 1.66 1.60 1.58 1.55 1.52
2014 1.47 1.57 1.59 1.62 1.72 1.67 1.62 1.61 1.56 1.64 1.52 1.48
2015 1.49 1.44 1.38 1.37 1.45 1.46 1.46 1.47 1.61 1.57 1.50 1.52
2016 1.67 1.77 1.70 1.74 1.83 1.93 1.93 1.95 1.90 1.84 1.79 1.68
2017 1.65 1.65 1.62 1.70 1.67 1.67 1.63 1.62 1.58 1.50 1.46 1.43
2018 1.37 1.47 1.50 1.48 1.53 1.61 1.66 1.69 1.67 1.72 1.77 1.89
2019 1.95 1.89 1.88 1.86 2.04 2.09 2.04 2.14 2.07 2.00

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 
-0.29517 -0.09078  0.01645  0.08841  0.22876 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.842456   0.040096  45.951 < 0.0000000000000002 ***
ID          0.009595   0.001747   5.492           0.00000306 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1228 on 37 degrees of freedom
Multiple R-squared:  0.4491,    Adjusted R-squared:  0.4342 
F-statistic: 30.16 on 1 and 37 DF,  p-value: 0.000003063



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.45337, p-value = 0.0000000002291
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.1408, df = 1, p-value = 0.2855



    Box-Ljung test

data:  lm_residuals
X-squared = 25.029, df = 1, p-value = 0.0000005647

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.35951 -0.13007 -0.01357  0.11196  0.51914 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.5580958  0.0391454  39.803 < 0.0000000000000002 ***
ID          0.0027648  0.0008096   3.415             0.000999 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1767 on 81 degrees of freedom
Multiple R-squared:  0.1259,    Adjusted R-squared:  0.1151 
F-statistic: 11.66 on 1 and 81 DF,  p-value: 0.0009988



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12048, p-value = 0.5863
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.17217, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.9883, df = 1, p-value = 0.3202



    Box-Ljung test

data:  lm_residuals
X-squared = 62.412, df = 1, p-value = 0.000000000000002776

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.45293 -0.18436 -0.06232  0.15889  0.63493 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.0621216  0.0677523  30.436 <0.0000000000000002 ***
ID          0.0002683  0.0019640   0.137               0.892    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2569 on 57 degrees of freedom
Multiple R-squared:  0.0003272, Adjusted R-squared:  -0.01721 
F-statistic: 0.01866 on 1 and 57 DF,  p-value: 0.8918



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.21667, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 16.121, df = 1, p-value = 0.00005941



    Box-Ljung test

data:  lm_residuals
X-squared = 46.642, df = 1, p-value = 0.00000000000852

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36583 -0.10807 -0.00276  0.10499  0.33066 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.5075475  0.0361649  41.685 < 0.0000000000000002 ***
ID          0.0038692  0.0007757   4.988           0.00000362 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1602 on 78 degrees of freedom
Multiple R-squared:  0.2418,    Adjusted R-squared:  0.2321 
F-statistic: 24.88 on 1 and 78 DF,  p-value: 0.000003615



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1625, p-value = 0.2424
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.18892, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.347, df = 1, p-value = 0.0007559



    Box-Ljung test

data:  lm_residuals
X-squared = 65.659, df = 1, p-value = 0.0000000000000005551
  • 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