Analysis

[1] "株式平均利回り:株式平均利回り:第二部: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                                                   0.54 0.56
2000 0.64 0.59 0.68 0.77 0.79 0.82 0.87 0.95 0.98 1.04 1.10 1.19
2001 1.26 1.20 1.31 1.28 1.21 1.25 1.35 1.39 1.57 1.54 1.56 1.67
2002 1.70 1.74 1.70 1.68 1.62 1.60 1.49 1.55 1.74 1.84 1.96 2.01
2003 1.94 1.88 1.98 1.93 1.83 1.74 1.64 1.56 1.49 1.44 1.53 1.58
2004 1.46 1.42 1.29 1.09 1.15 1.20 1.25 1.32 1.30 1.38 1.41 1.43
2005 1.31 1.23 1.08 1.11 1.10 1.10 1.18 1.18 1.12 1.06 0.98 0.89
2006 0.84 0.87 0.92 0.90 0.96 1.06 1.24 1.23 1.28 1.31 1.34 1.30
2007 1.30 1.27 1.30 1.34 1.37 1.34 1.37 1.48 1.58 1.57 1.67 1.72
2008 1.92 1.94 2.03 2.04 1.93 1.93 2.12 2.27 2.41 2.90 2.96 3.02
2009 2.97 3.10 3.15 2.98 2.86 2.60 2.27 2.18 2.16 2.24 2.37 2.41
2010 2.32 2.33 2.24 2.09 2.04 2.03 2.08 2.13 2.14 2.21 2.20 2.08
2011 1.97 1.90 1.98 2.00 2.06 2.10 2.07 2.22 2.23 2.25 2.32 2.28
2012 2.26 2.18 2.07 2.10 2.25 2.34 2.31 2.34 2.35 2.37 2.34 2.20
2013 1.99 1.91 1.76 1.68 1.64 1.84 1.75 1.73 1.69 1.63 1.63 1.63
2014 1.52 1.58 1.60 1.63 1.75 1.72 1.64 1.62 1.54 1.58 1.53 1.45
2015 1.42 1.41 1.36 1.32 1.33 1.33 1.31 1.36 1.47 1.45 1.43 1.44
2016 1.54 1.63 1.59 1.62 1.66 1.73 1.73 1.63 1.53 1.48 1.42 1.30
2017 1.21 1.17 1.10 1.13 1.15 1.17 1.14 1.01 1.00 0.96 0.96 1.03
2018 0.97 1.00 1.01 1.03 1.06 1.10 1.11 1.13 1.16 1.20 1.21 1.32
2019 1.34 1.33 1.32 1.30 1.53 1.68 1.66 1.73 1.71 1.64

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 
-0.28379 -0.10858  0.02361  0.10005  0.26073 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.139406   0.042816  49.968 <0.0000000000000002 ***
ID          0.002466   0.001866   1.322               0.194    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1311 on 37 degrees of freedom
Multiple R-squared:  0.04508,   Adjusted R-squared:  0.01927 
F-statistic: 1.747 on 1 and 37 DF,  p-value: 0.1944



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17949, p-value = 0.5622
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.3193, p-value = 0.0000000000002655
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.2632, df = 1, p-value = 0.1325



    Box-Ljung test

data:  lm_residuals
X-squared = 29.094, df = 1, p-value = 0.00000006894

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36385 -0.17238 -0.02076  0.11463  0.55302 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  1.717752   0.048667  35.296 < 0.0000000000000002 ***
ID          -0.006676   0.001006  -6.633        0.00000000341 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2197 on 81 degrees of freedom
Multiple R-squared:  0.352, Adjusted R-squared:  0.344 
F-statistic:    44 on 1 and 81 DF,  p-value: 0.000000003411



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.084337, p-value = 0.9317
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.10897, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 15.964, df = 1, p-value = 0.00006456



    Box-Ljung test

data:  lm_residuals
X-squared = 67.526, df = 1, p-value = 0.000000000000000222

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.55802 -0.19321 -0.05677  0.15118  0.73246 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  2.502116   0.077684   32.21 < 0.0000000000000002 ***
ID          -0.007048   0.002252   -3.13              0.00276 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2946 on 57 degrees of freedom
Multiple R-squared:  0.1466,    Adjusted R-squared:  0.1317 
F-statistic: 9.795 on 1 and 57 DF,  p-value: 0.002758



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.17444, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 19.041, df = 1, p-value = 0.0000128



    Box-Ljung test

data:  lm_residuals
X-squared = 49.008, df = 1, p-value = 0.000000000002549

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.36650 -0.16580  0.00296  0.10386  0.52912 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  1.646247   0.047757  34.471 < 0.0000000000000002 ***
ID          -0.005710   0.001024  -5.574          0.000000343 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2116 on 78 degrees of freedom
Multiple R-squared:  0.2849,    Adjusted R-squared:  0.2757 
F-statistic: 31.07 on 1 and 78 DF,  p-value: 0.0000003434



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.2, p-value = 0.08141
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.10253, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.667, df = 1, p-value = 0.0000006816



    Box-Ljung test

data:  lm_residuals
X-squared = 69.921, df = 1, p-value < 0.00000000000000022
  • 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