Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:最終需要財在庫率指数(逆サイクル):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.05
2000 -0.23  0.41 -0.30 -0.07  0.12  0.08 -0.28  0.34 -0.04 -0.20  0.09  0.08
2001 -0.25  0.10 -0.09 -0.17 -0.10 -0.04 -0.16  0.00 -0.23  0.29 -0.07  0.00
2002  0.16  0.01 -0.14  0.44  0.19 -0.10  0.23  0.03 -0.13  0.01  0.16 -0.20
2003 -0.21  0.35 -0.18  0.15  0.09 -0.09 -0.07  0.01  0.26  0.06 -0.54  0.52
2004  0.19 -0.40  0.00 -0.31 -0.13  0.22  0.33 -0.57  0.05  0.11  0.09  0.54
2005 -0.52 -0.31  0.05  0.49 -0.53  0.16 -0.05  0.02 -0.17  0.27 -0.14 -0.03
2006 -0.06 -0.08  0.05 -0.04  0.29 -0.05 -0.24  0.19  0.01 -0.34  0.08  0.03
2007  0.09  0.04 -0.04 -0.08 -0.04 -0.18  0.11  0.01 -0.35  0.17 -0.18  0.01
2008  0.28  0.00 -0.53  0.67 -0.17 -0.49  0.03 -0.51  0.11 -0.18 -0.66 -0.34
2009 -0.90 -0.13  0.49  0.17  0.19  0.63  0.33  0.34  0.43  0.11  0.29  0.41
2010  0.13 -0.06  0.45  0.13 -0.17  0.14  0.08  0.07 -0.08 -0.52  0.23 -0.33
2011 -0.18  0.44  0.35 -0.64  0.39  0.69 -0.05 -0.18 -0.09  0.21 -0.17  0.40
2012 -0.41 -0.21 -0.46 -0.19  0.14 -0.01 -0.39 -0.02 -0.28  0.11 -0.13  0.10
2013  0.59  0.22  0.06  0.31  0.05 -0.09  0.00  0.32 -0.19  0.09  0.25 -0.28
2014 -0.13 -0.23  0.31 -0.75 -0.29 -0.56  0.29 -0.27  0.19 -0.10 -0.12  0.07
2015  0.21 -0.11  0.04  0.29  0.01 -0.05  0.05 -0.13  0.16  0.16 -0.37 -0.17
2016  0.27  0.20 -0.44 -0.18 -0.20 -0.02  0.05  0.00 -0.02  0.14  0.23 -0.22
2017 -0.29  0.04 -0.09 -0.02  0.18  0.12 -0.05  0.15 -0.36 -0.23  0.06  0.14
2018 -0.38  0.15 -0.27  0.52 -0.25  0.19 -0.11  0.25  0.51 -0.56  0.41 -0.54
2019  0.45  0.13 -0.52  0.52 -0.44 -0.48  0.55 -0.24  0.32

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 
-0.65520 -0.16637 -0.00277  0.22618  0.68982 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.157854   0.095023   1.661   0.1051  
ID          -0.007508   0.004141  -1.813   0.0779 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.291 on 37 degrees of freedom
Multiple R-squared:  0.08161,   Adjusted R-squared:  0.05679 
F-statistic: 3.288 on 1 and 37 DF,  p-value: 0.0779



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.253, p-value = 0.735
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00073433, df = 1, p-value = 0.9784



    Box-Ljung test

data:  lm_residuals
X-squared = 0.77346, df = 1, p-value = 0.3791

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.7511 -0.2118  0.0127  0.2034  0.5846 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0056975  0.0655884   0.087    0.931
ID          -0.0002895  0.0013896  -0.208    0.835

Residual standard error: 0.2924 on 79 degrees of freedom
Multiple R-squared:  0.0005492, Adjusted R-squared:  -0.0121 
F-statistic: 0.04341 on 1 and 79 DF,  p-value: 0.8355



    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 = 2.575, p-value = 0.9944
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.2385, df = 1, p-value = 0.03952



    Box-Ljung test

data:  lm_residuals
X-squared = 8.6726, df = 1, p-value = 0.00323

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.87834 -0.20024  0.05384  0.21290  0.66981 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.034646   0.091346  -0.379    0.706
ID           0.001443   0.002648   0.545    0.588

Residual standard error: 0.3464 on 57 degrees of freedom
Multiple R-squared:  0.005183,  Adjusted R-squared:  -0.01227 
F-statistic: 0.297 on 1 and 57 DF,  p-value: 0.5879



    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 = 1.5667, p-value = 0.03354
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.1022, df = 1, p-value = 0.1471



    Box-Ljung test

data:  lm_residuals
X-squared = 2.8758, df = 1, p-value = 0.08992

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.71656 -0.20314  0.02616  0.19293  0.54569 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0412354  0.0659552  -0.625    0.534
ID           0.0005993  0.0014506   0.413    0.681

Residual standard error: 0.2885 on 76 degrees of freedom
Multiple R-squared:  0.00224,   Adjusted R-squared:  -0.01089 
F-statistic: 0.1707 on 1 and 76 DF,  p-value: 0.6807



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.546
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.7152, p-value = 0.9992
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.7838, df = 1, p-value = 0.009199



    Box-Ljung test

data:  lm_residuals
X-squared = 11.405, df = 1, p-value = 0.0007326
  • 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