Analysis

[1] "景気動向指数個別系列:先行系列:寄与度:日経商品指数(42種):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.14
2000  0.29  0.12 -0.21  0.06  0.09  0.07  0.20  0.07  0.28 -0.05  0.05 -0.03
2001 -0.13 -0.02  0.19  0.05 -0.11 -0.05 -0.28 -0.09 -0.24  0.02 -0.10  0.22
2002  0.17  0.03  0.12  0.14  0.22  0.26 -0.35  0.18  0.06  0.33  0.19  0.12
2003  0.23  0.26  0.11 -0.12 -0.13  0.07  0.24 -0.11  0.00  0.48 -0.15  0.11
2004  0.34  0.45  0.41 -0.05  0.41 -0.04  0.04  0.18  0.10 -0.05  0.04 -0.09
2005 -0.17  0.15  0.20  0.01 -0.25 -0.06  0.28  0.03  0.02  0.31  0.06  0.30
2006  0.43 -0.03  0.03  0.58  0.17 -0.22  0.14 -0.02 -0.17  0.25 -0.02  0.15
2007 -0.18 -0.06  0.30  0.39  0.01  0.10  0.22 -0.65  0.08  0.10 -0.45 -0.26
2008 -0.09  0.41  0.00  0.40  0.24  0.29  0.17 -0.44 -0.85 -1.04 -0.96 -0.89
2009 -0.56 -0.40 -0.04  0.30 -0.21  0.28  0.08  0.35 -0.21  0.25 -0.11  0.13
2010 -0.06  0.09  0.47  0.59 -0.49 -0.31 -0.16 -0.13  0.19  0.10  0.04  0.32
2011  0.31  0.37  0.20  0.12 -0.19 -0.26 -0.13 -0.39 -0.66 -0.03 -0.31 -0.20
2012  0.39  0.20  0.15 -0.10 -0.47 -0.32 -0.10  0.10  0.19 -0.27  0.25  0.34
2013  0.38  0.14  0.08  0.00  0.17 -0.24  0.17  0.35  0.04  0.08  0.22  0.38
2014 -0.13  0.00 -0.24 -0.13 -0.21  0.01  0.01 -0.10 -0.19 -0.16  0.05 -0.47
2015 -0.66  0.11 -0.27  0.18  0.08 -0.19 -0.29 -0.58 -0.40 -0.11 -0.21 -0.27
2016 -0.47 -0.09  0.17  0.28  0.09 -0.20  0.13 -0.08  0.03  0.23  0.67  0.49
2017  0.32  0.05  0.15 -0.24  0.10 -0.03  0.16  0.26  0.32  0.05  0.09  0.25
2018  0.08  0.08 -0.24  0.21  0.00 -0.15 -0.13 -0.10  0.13 -0.01 -0.23 -0.18
2019  0.00  0.26  0.06 -0.01 -0.15 -0.10 -0.17 -0.33  0.09

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 
-0.64889 -0.19523  0.01629  0.20937  0.54192 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.072456   0.094945   0.763    0.450
ID          -0.003482   0.004137  -0.842    0.405

Residual standard error: 0.2908 on 37 degrees of freedom
Multiple R-squared:  0.01878,   Adjusted R-squared:  -0.007737 
F-statistic: 0.7083 on 1 and 37 DF,  p-value: 0.4054



    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 = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2148, p-value = 0.00292
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0097755, df = 1, p-value = 0.9212



    Box-Ljung test

data:  lm_residuals
X-squared = 5.4954, df = 1, p-value = 0.01907

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.65296 -0.16338  0.01708  0.14721  0.67687 

Coefficients:
                Estimate   Std. Error t value Pr(>|t|)
(Intercept) -0.007228395  0.053366013  -0.135    0.893
ID           0.000007678  0.001130680   0.007    0.995

Residual standard error: 0.2379 on 79 degrees of freedom
Multiple R-squared:  5.838e-07, Adjusted R-squared:  -0.01266 
F-statistic: 4.612e-05 on 1 and 79 DF,  p-value: 0.9946



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.17284, p-value = 0.1783
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0932, p-value = 0.000004238
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0238, df = 1, p-value = 0.3116



    Box-Ljung test

data:  lm_residuals
X-squared = 15.947, df = 1, p-value = 0.00006513

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.85909 -0.23759  0.04153  0.25275  0.67565 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.212665   0.095351  -2.230   0.0297 *
ID           0.005292   0.002764   1.915   0.0606 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3616 on 57 degrees of freedom
Multiple R-squared:  0.06043,   Adjusted R-squared:  0.04394 
F-statistic: 3.666 on 1 and 57 DF,  p-value: 0.06056



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.80362, p-value = 0.00000006211
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 9.7424, df = 1, p-value = 0.001801



    Box-Ljung test

data:  lm_residuals
X-squared = 21.216, df = 1, p-value = 0.000004102

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.63372 -0.16551  0.03671  0.14232  0.68194 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.040626   0.054207  -0.749    0.456
ID           0.000652   0.001192   0.547    0.586

Residual standard error: 0.2371 on 76 degrees of freedom
Multiple R-squared:  0.00392,   Adjusted R-squared:  -0.009187 
F-statistic: 0.2991 on 1 and 76 DF,  p-value: 0.5861



    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 = 1.1286, p-value = 0.00001402
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.0184, df = 1, p-value = 0.3129



    Box-Ljung test

data:  lm_residuals
X-squared = 15.317, df = 1, p-value = 0.0000909
  • 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