Analysis

[1] "景気動向指数個別系列:一致系列:寄与度:営業利益(全産業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.08
2000  0.29  0.29  0.28 -0.05 -0.05 -0.05  0.12  0.12  0.12  0.23  0.23  0.23
2001 -0.39 -0.41 -0.42 -0.06 -0.06 -0.06 -0.46 -0.47 -0.50 -0.14 -0.14 -0.14
2002  0.06  0.05  0.05  0.23  0.23  0.23  0.11  0.11  0.11 -0.05 -0.05 -0.05
2003  0.07  0.07  0.07  0.01  0.01  0.01  0.22  0.22  0.21  0.32  0.31  0.31
2004  0.16  0.16  0.16  0.16  0.16  0.16  0.07  0.07  0.07  0.03  0.03  0.03
2005  0.16  0.16  0.16 -0.07 -0.08 -0.08 -0.01 -0.01 -0.02  0.10  0.10  0.09
2006  0.08  0.08  0.09  0.00  0.00  0.00  0.17  0.17  0.17  0.09  0.09  0.09
2007  0.17  0.17  0.17 -0.17 -0.18 -0.18 -0.03 -0.03 -0.03 -0.12 -0.12 -0.12
2008 -0.07 -0.07 -0.07 -0.05 -0.05 -0.05 -0.47 -0.49 -0.49 -0.77 -0.99 -0.99
2009 -1.07 -0.96 -0.40  0.41  0.57  0.47  0.39  0.53  0.58  0.48  0.46  0.44
2010 -0.03 -0.03 -0.03  0.55  0.27  0.41  0.03  0.04  0.04  0.15  0.15  0.15
2011 -0.34 -0.26 -0.36 -0.52 -0.16 -0.24  0.59  0.56  0.53 -0.04 -0.04 -0.04
2012  0.09  0.09  0.09 -0.21 -0.21 -0.22  0.01  0.01  0.01 -0.08 -0.08 -0.08
2013  0.29  0.28  0.28  0.10  0.10  0.10  0.33  0.33  0.32  0.08  0.09  0.09
2014  0.37  0.37  0.36 -0.37 -0.38 -0.40  0.18  0.17  0.17  0.11  0.11  0.11
2015  0.17  0.17  0.17  0.17  0.17  0.16 -0.05 -0.05 -0.05 -0.03 -0.03 -0.03
2016 -0.08 -0.08 -0.08 -0.05 -0.05 -0.05  0.14  0.14  0.14  0.27  0.27  0.26
2017  0.03  0.03  0.03  0.05  0.05  0.05  0.10  0.10  0.10  0.19  0.19  0.19
2018 -0.16 -0.17 -0.17  0.27  0.27  0.26 -0.18 -0.19 -0.19 -0.19 -0.19 -0.20
2019  0.37  0.40  0.39 -0.26 -0.26 -0.27  0.05  0.04  0.04

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 
-0.58477 -0.16440  0.02384  0.11079  0.55185 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.233387   0.085494   2.730  0.00964 **
ID          -0.008874   0.003725  -2.382  0.02246 * 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2618 on 37 degrees of freedom
Multiple R-squared:  0.133, Adjusted R-squared:  0.1095 
F-statistic: 5.675 on 1 and 37 DF,  p-value: 0.02246



    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 = 0.94905, p-value = 0.00008276
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.84866, df = 1, p-value = 0.3569



    Box-Ljung test

data:  lm_residuals
X-squared = 11.048, df = 1, p-value = 0.0008879

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.52042 -0.13665  0.00837  0.12356  0.40565 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)    
(Intercept)  0.1609475  0.0420976   3.823 0.000261 ***
ID          -0.0022514  0.0008919  -2.524 0.013603 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1877 on 79 degrees of freedom
Multiple R-squared:  0.07463,   Adjusted R-squared:  0.06292 
F-statistic: 6.371 on 1 and 79 DF,  p-value: 0.0136



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11111, p-value = 0.7027
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.94296, p-value = 0.00000006081
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.49924, df = 1, p-value = 0.4798



    Box-Ljung test

data:  lm_residuals
X-squared = 23.14, df = 1, p-value = 0.000001506

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.93131 -0.27429  0.01273  0.23771  0.68469 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.192677   0.108411  -1.777   0.0809 .
ID           0.005999   0.003143   1.909   0.0613 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4111 on 57 degrees of freedom
Multiple R-squared:  0.06008,   Adjusted R-squared:  0.04359 
F-statistic: 3.644 on 1 and 57 DF,  p-value: 0.06132



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20339, p-value = 0.1748
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.40649, p-value = 0.000000000000001197
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 15.583, df = 1, p-value = 0.00007895



    Box-Ljung test

data:  lm_residuals
X-squared = 39.223, df = 1, p-value = 0.000000000378

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.50599 -0.12946  0.01124  0.08386  0.39825 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.1339061  0.0433096   3.092  0.00278 **
ID          -0.0018613  0.0009526  -1.954  0.05438 . 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1894 on 76 degrees of freedom
Multiple R-squared:  0.04783,   Adjusted R-squared:  0.03531 
F-statistic: 3.818 on 1 and 76 DF,  p-value: 0.05438



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11538, p-value = 0.6802
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.95076, p-value = 0.0000001279
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.30791, df = 1, p-value = 0.579



    Box-Ljung test

data:  lm_residuals
X-squared = 22.247, df = 1, p-value = 0.000002397
  • 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