Analysis

[1] "景気動向指数個別系列:先行系列:マネーストック(M2)(前年同月比)(%):内閣府"
     Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1999                                             2.6
2000 2.6 2.1 1.9 2.9 2.2 1.9 2.0 1.8 2.0 2.1 1.9 2.0
2001 2.2 2.6 2.5 2.3 2.6 2.9 3.0 2.9 3.2 2.9 3.0 3.3
2002 3.5 3.5 3.7 3.5 3.5 3.4 3.3 3.4 3.2 3.3 3.2 2.2
2003 1.9 1.9 1.7 1.3 1.6 1.8 1.8 1.9 1.8 1.5 1.5 1.5
2004 1.6 1.7 1.7 1.8 2.0 1.7 1.8 1.9 2.1 2.0 2.0 2.0
2005 1.9 1.8 2.0 1.8 1.4 1.6 1.6 1.6 2.0 1.9 2.0 1.9
2006 1.8 1.7 1.4 1.6 1.3 1.1 0.5 0.4 0.5 0.5 0.6 0.7
2007 0.9 1.0 1.1 1.1 1.4 1.8 2.0 1.8 1.7 1.9 2.0 2.1
2008 2.1 2.4 2.3 1.9 2.1 2.2 2.1 2.4 2.2 1.8 1.8 1.8
2009 2.0 2.1 2.2 2.7 2.7 2.5 2.7 2.8 3.0 3.4 3.3 3.1
2010 3.0 2.7 2.7 2.9 3.1 2.9 2.7 2.8 2.8 2.8 2.6 2.3
2011 2.3 2.4 2.6 2.7 2.7 2.8 2.9 2.7 2.7 2.8 3.0 3.1
2012 3.0 2.9 3.0 2.6 2.2 2.3 2.3 2.4 2.4 2.3 2.1 2.6
2013 2.7 2.9 3.0 3.2 3.5 3.8 3.7 3.8 3.8 4.1 4.3 4.2
2014 4.3 4.0 3.5 3.4 3.3 3.0 3.0 3.0 3.0 3.1 3.6 3.5
2015 3.3 3.5 3.6 3.6 4.1 3.8 3.9 4.1 3.8 3.6 3.3 3.1
2016 3.1 3.1 3.0 3.3 3.3 3.3 3.3 3.2 3.4 3.6 3.8 3.9
2017 3.9 4.1 4.2 3.9 3.8 3.9 4.0 4.0 4.0 4.1 4.0 3.6
2018 3.4 3.2 3.1 3.2 3.2 3.1 2.9 2.9 2.8 2.7 2.3 2.4
2019 2.3 2.3 2.4 2.5 2.6 2.3 2.3 2.4 2.4            
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.49261 -0.18449 -0.01617  0.16996  0.49273 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  3.024291   0.083717  36.125 < 0.0000000000000002 ***
ID          -0.015445   0.003648  -4.234             0.000146 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2564 on 37 degrees of freedom
Multiple R-squared:  0.3264,    Adjusted R-squared:  0.3082 
F-statistic: 17.93 on 1 and 37 DF,  p-value: 0.0001456



    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 = 0.52804, p-value = 0.000000003867
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.24638, df = 1, p-value = 0.6196



    Box-Ljung test

data:  lm_residuals
X-squared = 20.501, df = 1, p-value = 0.000005959
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.08976 -0.36712 -0.02482  0.40766  0.95145 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  3.800586   0.112603  33.752 < 0.0000000000000002 ***
ID          -0.010824   0.002386  -4.537            0.0000201 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.502 on 79 degrees of freedom
Multiple R-squared:  0.2067,    Adjusted R-squared:  0.1967 
F-statistic: 20.58 on 1 and 79 DF,  p-value: 0.0000201



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.098765, p-value = 0.8277
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.14931, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.50754, df = 1, p-value = 0.4762



    Box-Ljung test

data:  lm_residuals
X-squared = 66.362, df = 1, p-value = 0.0000000000000003331
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.66671 -0.31892  0.05312  0.21274  0.87116 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 2.417008   0.095783  25.234 <0.0000000000000002 ***
ID          0.006213   0.002777   2.238              0.0292 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3632 on 57 degrees of freedom
Multiple R-squared:  0.08074,   Adjusted R-squared:  0.06461 
F-statistic: 5.007 on 1 and 57 DF,  p-value: 0.02918



    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 = 0.30072, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5303, df = 1, p-value = 0.1117



    Box-Ljung test

data:  lm_residuals
X-squared = 43.74, df = 1, p-value = 0.00000000003751
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.70972 -0.36086 -0.07108  0.34937  0.94026 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  3.914252   0.107988  36.247 < 0.0000000000000002 ***
ID          -0.013636   0.002375  -5.741          0.000000183 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4723 on 76 degrees of freedom
Multiple R-squared:  0.3025,    Adjusted R-squared:  0.2933 
F-statistic: 32.96 on 1 and 76 DF,  p-value: 0.000000183



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.24359, p-value = 0.01923
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.16945, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.8783, df = 1, p-value = 0.08978



    Box-Ljung test

data:  lm_residuals
X-squared = 64.886, df = 1, p-value = 0.0000000000000007772
  • 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