Analysis

[1] "株式平均利回り:株式平均利回り:第一部:有配会社平均利回り(%):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                                                   0.93 0.90
2000 0.89 0.89 0.88 0.90 0.93 0.88 0.98 1.00 1.02 1.10 1.09 1.14
2001 1.16 1.19 1.15 1.08 1.10 1.09 1.19 1.28 1.37 1.31 1.34 1.36
2002 1.44 1.37 1.35 1.32 1.26 1.37 1.37 1.41 1.43 1.51 1.49 1.56
2003 1.59 1.55 1.57 1.54 1.47 1.40 1.37 1.32 1.30 1.27 1.33 1.28
2004 1.27 1.23 1.12 1.10 1.14 1.08 1.21 1.22 1.25 1.28 1.27 1.21
2005 1.19 1.15 1.13 1.18 1.17 1.27 1.24 1.21 1.13 1.07 1.01 0.94
2006 0.90 0.96 0.92 0.94 1.03 1.19 1.23 1.18 1.21 1.22 1.24 1.19
2007 1.16 1.15 1.18 1.18 1.18 1.25 1.29 1.38 1.37 1.38 1.47 1.55
2008 1.69 1.72 1.84 1.71 1.63 1.80 1.82 1.89 2.16 2.58 2.57 2.48
2009 2.66 2.80 2.70 2.60 2.40 2.02 1.99 1.94 2.02 2.08 2.25 2.11
2010 2.12 2.11 1.92 1.87 1.97 2.01 2.03 2.15 2.08 2.19 2.07 1.96
2011 1.91 1.86 1.96 2.01 2.14 2.08 2.10 2.22 2.21 2.26 2.34 2.32
2012 2.23 2.08 2.02 2.12 2.42 2.26 2.34 2.35 2.32 2.32 2.23 2.07
2013 1.92 1.86 1.73 1.58 1.73 1.75 1.74 1.77 1.63 1.63 1.57 1.52
2014 1.58 1.63 1.62 1.68 1.79 1.68 1.64 1.63 1.59 1.60 1.53 1.51
2015 1.50 1.44 1.43 1.42 1.49 1.50 1.48 1.56 1.68 1.56 1.52 1.56
2016 1.68 1.83 1.74 1.77 1.86 2.01 1.92 1.98 1.93 1.83 1.77 1.71
2017 1.71 1.68 1.70 1.70 1.76 1.70 1.66 1.64 1.57 1.51 1.49 1.45
2018 1.44 1.51 1.54 1.50 1.66 1.68 1.68 1.71 1.64 1.83 1.79 2.05
2019 1.99 1.93 1.94 1.92 2.19 2.14 2.10 2.20 2.10 1.99

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 
-0.25392 -0.08806  0.02359  0.08826  0.25092 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.976113   0.038751  50.996 < 0.0000000000000002 ***
ID          0.007656   0.001689   4.534            0.0000589 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1187 on 37 degrees of freedom
Multiple R-squared:  0.3572,    Adjusted R-squared:  0.3398 
F-statistic: 20.56 on 1 and 37 DF,  p-value: 0.0000589



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.7624, p-value = 0.000002439
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.41919, df = 1, p-value = 0.5173



    Box-Ljung test

data:  lm_residuals
X-squared = 15.948, df = 1, p-value = 0.00006512

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33238 -0.12935 -0.02215  0.12614  0.47613 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.5909462  0.0401004  39.674 < 0.0000000000000002 ***
ID          0.0029264  0.0008293   3.529             0.000692 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.181 on 81 degrees of freedom
Multiple R-squared:  0.1332,    Adjusted R-squared:  0.1225 
F-statistic: 12.45 on 1 and 81 DF,  p-value: 0.0006915



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13253, p-value = 0.4619
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.22492, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5078, df = 1, p-value = 0.1133



    Box-Ljung test

data:  lm_residuals
X-squared = 60.742, df = 1, p-value = 0.00000000000000655

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.5107 -0.1646 -0.0350  0.1397  0.6575 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.1402864  0.0657170  32.568 <0.0000000000000002 ***
ID          0.0002051  0.0019050   0.108               0.915    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2492 on 57 degrees of freedom
Multiple R-squared:  0.0002034, Adjusted R-squared:  -0.01734 
F-statistic: 0.0116 on 1 and 57 DF,  p-value: 0.9146



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.28655, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 15.441, df = 1, p-value = 0.0000851



    Box-Ljung test

data:  lm_residuals
X-squared = 41.568, df = 1, p-value = 0.0000000001139

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.33830 -0.11986 -0.00566  0.11547  0.34830 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 1.5445285  0.0378691  40.786 < 0.0000000000000002 ***
ID          0.0039623  0.0008123   4.878           0.00000555 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1678 on 78 degrees of freedom
Multiple R-squared:  0.2338,    Adjusted R-squared:  0.2239 
F-statistic: 23.79 on 1 and 78 DF,  p-value: 0.00000555



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1125, p-value = 0.6953
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.25142, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.307, df = 1, p-value = 0.0007723



    Box-Ljung test

data:  lm_residuals
X-squared = 61.848, df = 1, p-value = 0.000000000000003664
  • 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