Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:東証株価指数:内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.07
2000  0.05  0.14 -0.17 -0.02 -0.22 -0.11 -0.06 -0.20 -0.04 -0.14 -0.18 -0.19
2001 -0.18 -0.08 -0.05  0.28  0.24 -0.29 -0.22 -0.17 -0.53  0.18 -0.06 -0.11
2002 -0.06 -0.10  0.52  0.02  0.12 -0.19 -0.21 -0.19 -0.17 -0.20 -0.06 -0.02
2003  0.03  0.00 -0.19 -0.03  0.20  0.36  0.40  0.10  0.36  0.12 -0.26  0.02
2004  0.25 -0.07  0.44  0.29 -0.38  0.22 -0.03 -0.13  0.06 -0.04  0.00  0.08
2005  0.19  0.11  0.18 -0.12 -0.08  0.14  0.16  0.25  0.40  0.27  0.40  0.36
2006  0.12 -0.03  0.01  0.24 -0.31 -0.46  0.04  0.16 -0.05  0.08 -0.23  0.19
2007  0.16  0.13 -0.22 -0.03 -0.01  0.09 -0.07 -0.56 -0.20  0.14 -0.45 -0.03
2008 -0.58 -0.08 -0.46  0.23  0.27 -0.01 -0.38 -0.20 -0.35 -0.88 -0.28 -0.15
2009 -0.11 -0.27 -0.01  0.40  0.25  0.20 -0.07  0.28 -0.11 -0.20 -0.20  0.22
2010  0.24 -0.20  0.23  0.28 -0.42 -0.17 -0.14 -0.05  0.05 -0.02  0.18  0.31
2011  0.21  0.18 -0.32 -0.17  0.01 -0.04  0.29 -0.45 -0.11  0.04 -0.08  0.08
2012  0.15  0.43  0.38 -0.15 -0.36 -0.02  0.15  0.08  0.01  0.02  0.16  0.42
2013  0.56  0.36  0.37  0.42  0.45 -0.53  0.47 -0.19  0.18 -0.01  0.13  0.11
2014  0.05 -0.38 -0.09 -0.12 -0.01  0.28  0.09 -0.04  0.14 -0.27  0.48  0.06
2015 -0.12  0.22  0.28  0.08  0.07  0.03 -0.11 -0.14 -0.59  0.13  0.20 -0.15
2016 -0.51 -0.35  0.09 -0.12 -0.05 -0.22 -0.03  0.00  0.07  0.05  0.13  0.34
2017 -0.02 -0.05  0.00 -0.25  0.20  0.04 -0.01 -0.09  0.01  0.19  0.11  0.01
2018  0.15 -0.39 -0.20  0.03  0.11 -0.11 -0.13 -0.06  0.04 -0.16 -0.20 -0.28
2019 -0.10  0.14  0.01  0.02 -0.25 -0.04  0.10 -0.27  0.25

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 
-0.48684 -0.15369 -0.01615  0.18665  0.37180 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.045061   0.073700  -0.611    0.545
ID           0.003561   0.003211   1.109    0.275

Residual standard error: 0.2257 on 37 degrees of freedom
Multiple R-squared:  0.03216,   Adjusted R-squared:  0.005999 
F-statistic: 1.229 on 1 and 37 DF,  p-value: 0.2747



    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 = 1.5874, p-value = 0.06837
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.03834, df = 1, p-value = 0.8448



    Box-Ljung test

data:  lm_residuals
X-squared = 1.2361, df = 1, p-value = 0.2662

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.62850 -0.13013  0.01886  0.13806  0.44850 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.114096   0.049561   2.302   0.0240 *
ID          -0.002599   0.001050  -2.475   0.0155 *
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.221 on 79 degrees of freedom
Multiple R-squared:  0.07197,   Adjusted R-squared:  0.06022 
F-statistic: 6.127 on 1 and 79 DF,  p-value: 0.01546



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14815, p-value = 0.338
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.8759, p-value = 0.2494
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.0145, df = 1, p-value = 0.008085



    Box-Ljung test

data:  lm_residuals
X-squared = 0.035048, df = 1, p-value = 0.8515

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.75483 -0.15632 -0.03508  0.20388  0.49011 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)   
(Intercept) -0.160234   0.066781  -2.399  0.01971 * 
ID           0.005844   0.001936   3.019  0.00379 **
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2532 on 57 degrees of freedom
Multiple R-squared:  0.1378,    Adjusted R-squared:  0.1227 
F-statistic: 9.113 on 1 and 57 DF,  p-value: 0.003792



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2663, p-value = 0.00105
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.3045, df = 1, p-value = 0.2534



    Box-Ljung test

data:  lm_residuals
X-squared = 7.0674, df = 1, p-value = 0.00785

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-0.5966 -0.1241  0.0206  0.1223  0.4574 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.054789   0.048876   1.121    0.266
ID          -0.001608   0.001075  -1.496    0.139

Residual standard error: 0.2138 on 76 degrees of freedom
Multiple R-squared:  0.02859,   Adjusted R-squared:  0.01581 
F-statistic: 2.237 on 1 and 76 DF,  p-value: 0.1389



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16667, p-value = 0.2297
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 2.0715, p-value = 0.5792
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 6.1737, df = 1, p-value = 0.01297



    Box-Ljung test

data:  lm_residuals
X-squared = 0.39643, df = 1, p-value = 0.5289
  • 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