Analysis

[1] "株式平均利回り:株式平均利回り:第二部: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                                                   0.91 0.99
2000 1.00 0.87 1.00 1.06 1.12 1.10 1.25 1.33 1.42 1.56 1.58 1.65
2001 1.62 1.60 1.68 1.64 1.61 1.60 1.79 1.85 2.01 1.95 2.01 2.12
2002 2.18 2.16 2.17 2.14 2.07 2.12 2.06 2.13 2.24 2.37 2.49 2.52
2003 2.47 2.42 2.52 2.39 2.33 2.16 2.09 2.03 1.99 1.90 2.02 1.99
2004 1.84 1.78 1.64 1.48 1.57 1.51 1.80 1.73 1.85 1.87 1.87 1.86
2005 1.74 1.62 1.50 1.51 1.53 1.55 1.51 1.49 1.43 1.39 1.29 1.18
2006 1.14 1.13 1.16 1.19 1.28 1.43 1.51 1.46 1.50 1.52 1.57 1.53
2007 1.52 1.49 1.52 1.55 1.54 1.56 1.57 1.71 1.76 1.77 1.90 1.95
2008 2.13 2.10 2.24 2.17 2.07 2.22 2.31 2.46 2.69 3.12 3.16 3.18
2009 3.26 3.41 3.33 3.27 3.10 2.68 2.65 2.57 2.61 2.68 2.88 2.76
2010 2.72 2.71 2.56 2.42 2.54 2.55 2.52 2.59 2.59 2.67 2.61 2.50
2011 2.40 2.32 2.38 2.44 2.54 2.47 2.51 2.62 2.66 2.68 2.74 2.65
2012 2.59 2.44 2.39 2.46 2.61 2.55 2.58 2.58 2.62 2.63 2.57 2.40
2013 2.24 2.19 2.05 1.95 2.02 2.13 2.14 2.16 2.03 2.03 2.02 1.99
2014 1.91 1.95 1.98 2.01 2.10 2.00 1.93 1.92 1.89 1.93 1.85 1.82
2015 1.83 1.80 1.77 1.75 1.80 1.78 1.77 1.87 1.93 1.88 1.89 1.91
2016 1.98 2.08 2.04 2.09 2.21 2.32 2.23 2.23 2.21 2.15 2.07 2.01
2017 1.95 1.86 1.86 1.88 1.92 1.88 1.80 1.76 1.77 1.71 1.67 1.64
2018 1.55 1.60 1.66 1.68 1.76 1.78 1.83 1.84 1.81 2.00 2.03 2.27
2019 2.16 2.10 2.13 2.12 2.38 2.33 2.32 2.42 2.37 2.28          
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.257347 -0.077531  0.008864  0.084627  0.268706 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  2.618084   0.037693  69.457 <0.0000000000000002 ***
ID          -0.002263   0.001642  -1.378               0.177    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1154 on 37 degrees of freedom
Multiple R-squared:  0.04881,   Adjusted R-squared:  0.0231 
F-statistic: 1.899 on 1 and 37 DF,  p-value: 0.1765



    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 = 0.5622, p-value = 0.00000001208
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.5421, df = 1, p-value = 0.2143



    Box-Ljung test

data:  lm_residuals
X-squared = 21.646, df = 1, p-value = 0.000003279
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43203 -0.15069 -0.02693  0.14167  0.43627 

Coefficients:
              Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.97648545 0.04493423  43.986 <0.0000000000000002 ***
ID          0.00008942 0.00092930   0.096               0.924    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2028 on 81 degrees of freedom
Multiple R-squared:  0.0001143, Adjusted R-squared:  -0.01223 
F-statistic: 0.009258 on 1 and 81 DF,  p-value: 0.9236



    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 = 0.14458, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 14.808, df = 1, p-value = 0.000119



    Box-Ljung test

data:  lm_residuals
X-squared = 67.791, df = 1, p-value = 0.000000000000000222
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.71544 -0.11136 -0.03407  0.10314  0.67643 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  2.796967   0.072081  38.803 <0.0000000000000002 ***
ID          -0.005763   0.002090  -2.758              0.0078 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2733 on 57 degrees of freedom
Multiple R-squared:  0.1178,    Adjusted R-squared:  0.1023 
F-statistic: 7.608 on 1 and 57 DF,  p-value: 0.007798



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.20957, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 21.17, df = 1, p-value = 0.000004202



    Box-Ljung test

data:  lm_residuals
X-squared = 43.944, df = 1, p-value = 0.00000000003379
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43707 -0.15331 -0.00606  0.12021  0.41450 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 1.9298449  0.0442327  43.629 <0.0000000000000002 ***
ID          0.0009699  0.0009488   1.022                0.31    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.196 on 78 degrees of freedom
Multiple R-squared:  0.01322,   Adjusted R-squared:  0.000569 
F-statistic: 1.045 on 1 and 78 DF,  p-value: 0.3098



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.05, p-value = 1
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.1448, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 21.477, df = 1, p-value = 0.000003582



    Box-Ljung test

data:  lm_residuals
X-squared = 69.192, 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