Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:投資環境指数(製造業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.17
2000  0.01 -0.05  0.14  0.05  0.14 -0.05  0.13 -0.17  0.10  0.03  0.22  0.01
2001 -0.07 -0.04 -0.18 -0.33 -0.23 -0.25 -0.36 -0.29 -0.28 -0.01 -0.16 -0.12
2002  0.01  0.07  0.22  0.20  0.16  0.23  0.10  0.24  0.10  0.29  0.10  0.19
2003 -0.02 -0.07 -0.03  0.04  0.01 -0.32 -0.03 -0.41  0.19 -0.09  0.13 -0.09
2004  0.18  0.22 -0.08 -0.04  0.08 -0.18 -0.10  0.27  0.06 -0.08  0.01 -0.02
2005  0.20 -0.08  0.23  0.02 -0.06  0.05 -0.17 -0.06 -0.17 -0.06  0.12 -0.01
2006 -0.10 -0.02 -0.18 -0.15  0.11 -0.09  0.07  0.36 -0.02 -0.06  0.09 -0.04
2007 -0.11 -0.02 -0.11 -0.05 -0.26 -0.23 -0.06  0.08 -0.20  0.02  0.10 -0.07
2008  0.00  0.03  0.03 -0.36 -0.36 -0.07 -0.05 -0.01 -0.19 -0.83 -0.77 -0.71
2009 -0.87 -0.42 -0.24  0.66  0.64  0.74  0.51  0.64  0.61  0.36  0.37  0.42
2010  0.20  0.24  0.14  0.14  0.03  0.17  0.01  0.07  0.04  0.00 -0.28  0.07
2011 -0.28 -0.20 -0.15 -0.15 -0.15 -0.19  0.22  0.22  0.17 -0.16 -0.14 -0.03
2012  0.09  0.10  0.05  0.11  0.07  0.01  0.04 -0.02  0.02 -0.08  0.01 -0.16
2013  0.40  0.40  0.43  0.00 -0.24  0.03  0.08  0.12  0.07  0.19  0.06 -0.11
2014  0.05 -0.02 -0.15 -0.41 -0.36 -0.39  0.14  0.14  0.07  0.09  0.07  0.12
2015 -0.06 -0.15 -0.18  0.08 -0.03 -0.04  0.07  0.05  0.04 -0.14 -0.21 -0.16
2016  0.05  0.03 -0.14  0.08  0.05  0.11 -0.08 -0.16  0.00  0.18  0.12  0.17
2017  0.04  0.14  0.07 -0.02 -0.09 -0.11  0.02  0.07 -0.06 -0.08 -0.02 -0.06
2018 -0.07  0.00 -0.03 -0.05 -0.05 -0.07 -0.18 -0.18 -0.15 -0.12 -0.08 -0.01
2019 -0.12 -0.10 -0.05 -0.09  0.02  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 
-0.35255 -0.08352  0.02409  0.10656  0.27931 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept)  0.159271   0.051683   3.082  0.00387 **
ID          -0.006194   0.002252  -2.751  0.00915 **
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1583 on 37 degrees of freedom
Multiple R-squared:  0.1698,    Adjusted R-squared:  0.1473 
F-statistic: 7.565 on 1 and 37 DF,  p-value: 0.009154



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.89083, p-value = 0.00003079
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5161, df = 1, p-value = 0.1127



    Box-Ljung test

data:  lm_residuals
X-squared = 11.741, df = 1, p-value = 0.0006112

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.43746 -0.05658  0.01933  0.07141  0.38075 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.0542757  0.0332771   1.631   0.1070  
ID          -0.0016759  0.0007319  -2.290   0.0248 *
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1455 on 76 degrees of freedom
Multiple R-squared:  0.06454,   Adjusted R-squared:  0.05223 
F-statistic: 5.243 on 1 and 76 DF,  p-value: 0.02481



    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 = 0.83206, p-value = 0.000000002444
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 13.681, df = 1, p-value = 0.0002167



    Box-Ljung test

data:  lm_residuals
X-squared = 23.83, df = 1, p-value = 0.000001052

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.83130 -0.20393 -0.00772  0.15597  0.76186 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.069012   0.091091  -0.758    0.452
ID           0.003368   0.002641   1.276    0.207

Residual standard error: 0.3454 on 57 degrees of freedom
Multiple R-squared:  0.02775,   Adjusted R-squared:  0.0107 
F-statistic: 1.627 on 1 and 57 DF,  p-value: 0.2073



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.18644, p-value = 0.2582
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.42499, p-value = 0.0000000000000041
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 14.758, df = 1, p-value = 0.0001222



    Box-Ljung test

data:  lm_residuals
X-squared = 37.222, df = 1, p-value = 0.000000001054

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.39324 -0.06518  0.01098  0.08789  0.21121 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.0104973  0.0293626  -0.358    0.722
ID          -0.0004817  0.0006714  -0.717    0.475

Residual standard error: 0.1259 on 73 degrees of freedom
Multiple R-squared:  0.007001,  Adjusted R-squared:  -0.006602 
F-statistic: 0.5147 on 1 and 73 DF,  p-value: 0.4754



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14667, p-value = 0.3974
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.99829, p-value = 0.0000007995
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 8.002, df = 1, p-value = 0.004673



    Box-Ljung test

data:  lm_residuals
X-squared = 19.32, df = 1, p-value = 0.00001105
  • 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