Analysis

[1] "景気ウォッチャー調査:中国:季節調整値:景気の現状判断(方向性)DI:内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2002 39.4 36.5 42.9 46.0 47.8 46.9 45.4 45.4 43.7 43.2 41.2 39.2
2003 41.1 44.5 41.8 40.4 40.7 42.5 45.2 46.9 47.9 53.2 50.7 51.7
2004 50.6 51.7 52.2 53.3 51.4 51.0 51.8 50.2 48.4 46.7 46.1 44.3
2005 47.9 45.8 46.7 46.9 50.8 52.3 50.2 49.8 50.9 52.3 54.5 55.1
2006 55.8 54.7 55.3 52.5 49.4 47.9 46.7 49.3 50.9 50.9 50.6 51.2
2007 49.7 52.6 47.1 47.0 45.6 44.1 43.8 42.5 42.4 42.2 42.9 41.3
2008 38.9 36.4 34.6 32.9 31.5 30.3 28.4 29.5 30.7 27.3 25.3 16.2
2009 21.5 21.4 29.5 33.5 37.5 42.0 40.3 42.0 46.6 44.0 38.5 38.6
2010 42.9 43.4 43.2 45.0 44.7 44.9 50.0 43.7 43.2 41.9 46.8 46.9
2011 47.0 48.6 29.3 26.6 36.8 48.4 53.4 43.7 43.6 46.2 44.9 45.2
2012 40.6 44.8 46.7 45.9 43.1 41.0 41.0 43.4 43.9 40.9 44.3 47.0
2013 51.3 53.1 53.5 52.3 53.4 52.9 52.9 52.5 55.1 56.0 57.9 57.5
2014 57.6 55.8 54.5 36.5 41.4 47.5 51.1 47.5 46.9 44.9 45.0 43.9
2015 44.4 47.9 49.1 49.7 51.6 49.8 51.2 50.9 47.3 50.7 50.8 50.9
2016 49.9 46.0 44.6 44.4 42.7 42.3 44.9 48.3 48.1 49.9 48.0 49.1
2017 48.7 50.1 48.6 48.7 50.5 50.7 50.8 49.3 51.7 50.0 52.1 51.7
2018 51.1 48.6 50.0 49.2 47.8 48.7 42.5 46.4 47.1 52.3 50.2 43.6
2019 47.4 48.4 43.7 45.4 43.6 44.8 44.7 45.1 44.8 36.6

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 
-16.809  -1.002   0.385   2.401   9.911 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 42.90351    1.59444  26.908 <0.0000000000000002 ***
ID           0.02662    0.06948   0.383               0.704    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.883 on 37 degrees of freedom
Multiple R-squared:  0.003952,  Adjusted R-squared:  -0.02297 
F-statistic: 0.1468 on 1 and 37 DF,  p-value: 0.7038



    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 = 1.1127, p-value = 0.0008722
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.096933, df = 1, p-value = 0.7555



    Box-Ljung test

data:  lm_residuals
X-squared = 8.0623, df = 1, p-value = 0.00452

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-14.2506  -2.1107   0.7731   1.9676   6.7593 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 51.99901    0.84279  61.699 < 0.0000000000000002 ***
ID          -0.07802    0.01764  -4.423            0.0000304 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.781 on 80 degrees of freedom
Multiple R-squared:  0.1965,    Adjusted R-squared:  0.1864 
F-statistic: 19.56 on 1 and 80 DF,  p-value: 0.00003037



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.19512, p-value = 0.08807
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.70819, p-value = 0.000000000005143
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.3427, df = 1, p-value = 0.1259



    Box-Ljung test

data:  lm_residuals
X-squared = 31.675, df = 1, p-value = 0.00000001822

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-17.0231  -4.1517   0.5702   5.3833  10.5523 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 30.60222    1.68268  18.187 < 0.0000000000000002 ***
ID           0.32761    0.04878   6.716        0.00000000944 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 6.38 on 57 degrees of freedom
Multiple R-squared:  0.4418,    Adjusted R-squared:  0.432 
F-statistic: 45.11 on 1 and 57 DF,  p-value: 0.000000009437



    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 = 0.55214, p-value = 0.000000000004818
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.2293, df = 1, p-value = 0.1354



    Box-Ljung test

data:  lm_residuals
X-squared = 32.267, df = 1, p-value = 0.00000001344

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-14.1582  -2.2553   0.7675   2.0747   6.8632 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 51.64255    0.87349  59.122 < 0.0000000000000002 ***
ID          -0.07572    0.01897  -3.991             0.000149 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.845 on 77 degrees of freedom
Multiple R-squared:  0.1714,    Adjusted R-squared:  0.1606 
F-statistic: 15.93 on 1 and 77 DF,  p-value: 0.0001489



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16456, p-value = 0.2361
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.7071, p-value = 0.00000000001114
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.5794, df = 1, p-value = 0.0585



    Box-Ljung test

data:  lm_residuals
X-squared = 30.542, df = 1, p-value = 0.00000003267
  • 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