Analysis

[1] "景気動向指数個別系列:先行系列:寄与度: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                                                                   -0.21
2000  0.01 -0.35 -0.13  0.58 -0.45 -0.20  0.09 -0.14  0.16  0.08 -0.13  0.09
2001  0.16  0.29 -0.06 -0.13  0.22  0.22  0.08 -0.06  0.20 -0.19  0.07  0.19
2002  0.13  0.00  0.13 -0.14  0.00 -0.07 -0.07  0.07 -0.14  0.07 -0.07 -0.55
2003 -0.18  0.04 -0.11 -0.26  0.24  0.16  0.02  0.10 -0.05 -0.20  0.03  0.03
2004  0.10  0.10  0.03  0.10  0.18 -0.20  0.11  0.10  0.17 -0.06  0.01  0.01
2005 -0.07 -0.08  0.16 -0.15 -0.31  0.16  0.00  0.00  0.32 -0.08  0.08 -0.08
2006 -0.08 -0.07 -0.24  0.17 -0.24 -0.15 -0.46 -0.05  0.12  0.03  0.11  0.12
2007  0.20  0.12  0.12  0.03  0.28  0.35  0.18 -0.15 -0.06  0.18  0.09  0.08
2008  0.00  0.23 -0.09 -0.32  0.15  0.07 -0.08  0.22 -0.15 -0.29  0.00  0.00
2009 -0.11  0.06  0.06  0.29  0.00 -0.13  0.13  0.06  0.13  0.27 -0.08 -0.15
2010 -0.08 -0.23  0.00  0.14  0.14 -0.16 -0.16  0.07 -0.01 -0.01 -0.15 -0.23
2011  0.00  0.07  0.14  0.07 -0.01  0.06  0.05 -0.18 -0.02  0.05  0.13  0.05
2012 -0.10 -0.10  0.06 -0.33 -0.31  0.07  0.00  0.07  0.00 -0.07 -0.14  0.37
2013  0.07  0.15  0.07  0.15  0.23  0.23 -0.10  0.07 -0.02  0.22  0.14 -0.11
2014  0.05 -0.27 -0.42 -0.09 -0.09 -0.24  0.00  0.00  0.00  0.08  0.39 -0.08
2015 -0.16  0.15  0.07 -0.01  0.39 -0.25  0.06  0.14 -0.25 -0.17 -0.24 -0.16
2016 -0.01 -0.01 -0.08  0.22 -0.01 -0.01 -0.01 -0.08  0.14  0.14  0.14  0.07
2017 -0.01  0.14  0.06 -0.25 -0.10  0.06  0.06 -0.02 -0.02  0.06 -0.11 -0.34
2018 -0.17 -0.16 -0.08  0.08  0.00 -0.07 -0.15  0.01 -0.07 -0.06 -0.28  0.10
2019 -0.05  0.02  0.09  0.09  0.08 -0.21  0.01  0.09  0.01

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 
-0.31672 -0.10501  0.01178  0.08194  0.37971 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0271525  0.0482569  -0.563    0.577
ID           0.0004474  0.0021028   0.213    0.833

Residual standard error: 0.1478 on 37 degrees of freedom
Multiple R-squared:  0.001222,  Adjusted R-squared:  -0.02577 
F-statistic: 0.04526 on 1 and 37 DF,  p-value: 0.8327



    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 = 1.4939, p-value = 0.03625
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.58251, df = 1, p-value = 0.4453



    Box-Ljung test

data:  lm_residuals
X-squared = 0.50369, df = 1, p-value = 0.4779

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43572 -0.08733  0.00250  0.10996  0.38733 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0297037  0.0338354   0.878    0.383
ID          -0.0009322  0.0007169  -1.300    0.197

Residual standard error: 0.1509 on 79 degrees of freedom
Multiple R-squared:  0.02096,   Adjusted R-squared:  0.008565 
F-statistic: 1.691 on 1 and 79 DF,  p-value: 0.1972



    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 = 1.6142, p-value = 0.03041
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.9248, df = 1, p-value = 0.08723



    Box-Ljung test

data:  lm_residuals
X-squared = 3.0834, df = 1, p-value = 0.0791

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.32831 -0.09852  0.00195  0.07195  0.37237 

Coefficients:
               Estimate  Std. Error t value Pr(>|t|)
(Intercept)  0.00237288  0.03827736   0.062    0.951
ID          -0.00008475  0.00110961  -0.076    0.939

Residual standard error: 0.1451 on 57 degrees of freedom
Multiple R-squared:  0.0001023, Adjusted R-squared:  -0.01744 
F-statistic: 0.005833 on 1 and 57 DF,  p-value: 0.9394



    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 = 1.6336, p-value = 0.05886
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.051074, df = 1, p-value = 0.8212



    Box-Ljung test

data:  lm_residuals
X-squared = 1.834, df = 1, p-value = 0.1757

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.42726 -0.09325  0.00225  0.10268  0.39283 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0159074  0.0349625   0.455    0.650
ID          -0.0007208  0.0007690  -0.937    0.352

Residual standard error: 0.1529 on 76 degrees of freedom
Multiple R-squared:  0.01143,   Adjusted R-squared:  -0.001579 
F-statistic: 0.8786 on 1 and 76 DF,  p-value: 0.3516



    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 = 0.316
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.6222, p-value = 0.03531
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.3851, df = 1, p-value = 0.03625



    Box-Ljung test

data:  lm_residuals
X-squared = 2.7154, df = 1, p-value = 0.09938
  • 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