Analysis

[1] "景気動向指数個別系列:一致系列:投資財出荷指数(除輸送機械)(平成27年=100):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                   120.3
2000 122.1 122.1 124.3 125.4 123.5 128.1 126.6 132.3 127.9 130.4 130.0 132.7
2001 128.5 130.1 125.4 125.0 121.7 120.7 116.4 112.7 110.8 109.2 109.0 110.0
2002 107.8 107.3 108.2 103.0 110.5 105.8 105.3 109.0 109.8 108.0 107.6 105.8
2003 106.2 108.2 108.1 102.1 105.1 105.7 105.1 105.0 108.9 111.8 108.6 110.1
2004 114.2 113.0 113.1 114.6 116.2 117.1 118.6 117.1 117.4 115.4 116.2 117.1
2005 117.5 114.9 117.5 119.5 116.8 118.0 116.9 120.6 118.5 119.2 122.1 123.5
2006 120.5 120.1 120.5 123.9 122.9 126.2 123.7 122.4 123.1 125.2 124.3 124.0
2007 124.9 126.3 120.1 123.1 124.9 124.4 125.6 124.8 122.9 123.1 121.9 122.9
2008 120.6 120.5 119.9 118.5 123.3 116.5 113.9 111.5 111.3 110.0 103.1  98.2
2009  94.6  88.3  87.3  79.6  78.7  78.0  76.7  80.4  81.7  81.8  82.2  84.0
2010  86.6  90.2  90.8  91.8  88.8  92.2  93.1  93.2  95.1  96.7  97.3  96.8
2011  97.0 101.0  89.9  94.4  97.0  98.5  98.0  98.7  93.7  98.8 100.1 100.3
2012  99.8  97.6  98.6  97.2 100.0  96.7  96.1  94.2  93.4  91.6  90.7  94.4
2013  91.7  93.4  97.9  95.7  96.3  95.7  97.2  98.7  98.5 100.5 101.1 101.8
2014 108.3 103.9 109.0 100.7  99.8 100.6 101.7 100.0 102.2 101.7 101.2 100.4
2015 107.7  98.9  99.9 100.1 100.0 101.0 101.2  99.1 100.0  99.4  97.7  96.1
2016  98.5  97.8  97.7  98.3  97.2  97.8  98.7  99.0  99.4  99.7 100.9 100.1
2017  99.4  99.0  97.2 100.9 102.4 102.9 100.7 105.8 102.2 103.5 105.2 107.0
2018 103.4 103.3 105.0 107.5 104.5 103.4 103.6 104.1 103.6 107.8 105.0 104.5
2019  98.2 101.5  99.6 101.0 104.2  99.7 100.8 101.6 108.2

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 
-7.995 -3.180  0.648  3.403  7.415 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 89.44858    1.33678  66.914 < 0.0000000000000002 ***
ID           0.24334    0.05825   4.178             0.000172 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4.094 on 37 degrees of freedom
Multiple R-squared:  0.3205,    Adjusted R-squared:  0.3021 
F-statistic: 17.45 on 1 and 37 DF,  p-value: 0.0001723



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15385, p-value = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.51579, p-value = 0.000000002515
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.051917, df = 1, p-value = 0.8198



    Box-Ljung test

data:  lm_residuals
X-squared = 19.188, df = 1, p-value = 0.00001184

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-6.7270 -2.2416 -0.1771  1.4083  9.6729 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 98.36275    0.68903 142.756 < 0.0000000000000002 ***
ID           0.06429    0.01460   4.404             0.000033 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.072 on 79 degrees of freedom
Multiple R-squared:  0.1971,    Adjusted R-squared:  0.187 
F-statistic:  19.4 on 1 and 79 DF,  p-value: 0.00003299



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12346, p-value = 0.5705
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.83427, p-value = 0.000000001402
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.9673, df = 1, p-value = 0.1607



    Box-Ljung test

data:  lm_residuals
X-squared = 24.337, df = 1, p-value = 0.0000008087

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-18.6937  -4.5086   0.2414   4.2250  27.3712 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 95.96704    2.47153  38.829 <0.0000000000000002 ***
ID          -0.03822    0.07165  -0.534               0.596    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 9.372 on 57 degrees of freedom
Multiple R-squared:  0.004969,  Adjusted R-squared:  -0.01249 
F-statistic: 0.2846 on 1 and 57 DF,  p-value: 0.5958



    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 = 0.123, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 24.742, df = 1, p-value = 0.0000006553



    Box-Ljung test

data:  lm_residuals
X-squared = 46.099, df = 1, p-value = 0.00000000001124

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-4.8213 -2.2211 -0.2779  1.4593  9.1573 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 99.22631    0.67651 146.673 < 0.0000000000000002 ***
ID           0.05136    0.01488   3.452             0.000912 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 2.959 on 76 degrees of freedom
Multiple R-squared:  0.1355,    Adjusted R-squared:  0.1242 
F-statistic: 11.92 on 1 and 76 DF,  p-value: 0.0009124



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.076923, p-value = 0.9766
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.89386, p-value = 0.00000002109
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.7244, df = 1, p-value = 0.3947



    Box-Ljung test

data:  lm_residuals
X-squared = 22.328, df = 1, p-value = 0.000002298
  • 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