Analysis

[1] "景気動向指数個別系列:先行系列:最終需要財在庫率指数(逆サイクル)(平成27年=100):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    99.0
2000 101.6  97.0 100.3 101.0  99.6  98.6 101.6  97.8  98.1 100.1  99.0  98.0
2001 100.6  99.4 100.3 102.2 103.3 103.8 105.7 105.8 108.7 105.2 106.2 106.3
2002 104.4 104.4 106.3 101.2  99.0 100.0  97.2  96.7  98.1  97.9  95.8  97.8
2003 100.0  95.7  97.4  95.4  94.1  94.9  95.5  95.1  92.0  91.0  96.6  89.5
2004  87.2  91.2  91.0  94.1  95.3  92.9  89.4  95.1  94.5  93.3  92.3  86.4
2005  91.5  94.6  94.0  88.9  94.1  92.4  92.8  92.5  94.1  91.3  92.6  92.8
2006  93.3  94.0  93.4  93.7  90.8  91.1  93.3  91.2  90.8  93.9  92.9  92.4
2007  91.3  90.7  90.9  91.5  91.8  93.5  92.4  92.3  95.8  94.1  95.9  95.8
2008  92.9  92.9  98.3  88.9  90.7  95.8  95.6 101.2 100.2 102.5 110.6 115.3
2009 135.9 138.4 131.9 130.1 128.1 120.6 117.0 113.1 108.2 107.1 103.9  99.4
2010  98.0  98.6  93.6  92.2  93.9  92.3  91.3  90.4  91.1  96.6  94.1  97.6
2011  99.5  94.8  91.0 107.3 103.0  88.8  89.1  90.8  91.6  89.2  90.8  86.3
2012  90.5  92.6 101.7 103.7 102.2 102.2 106.4 106.7 109.7 108.5 110.0 108.9
2013 102.2  99.8  99.0  95.8  95.1  95.7  95.5  92.0  93.5  92.2  89.2  91.2
2014  91.6  93.0  83.8  96.6  99.0 105.6 102.2 104.7 102.5 103.3 104.4 103.6
2015 101.4 102.4 102.0  99.0  98.8  99.3  98.8 100.1  98.4  96.6 100.4 102.1
2016  99.1  96.9 101.6 103.5 105.7 106.1 105.7 105.8 106.2 104.9 102.6 105.1
2017 108.3 108.1 109.1 109.4 107.6 106.4 106.9 105.3 108.9 111.2 110.6 109.2
2018 113.2 111.9 114.9 109.8 112.6 110.9 112.3 110.0 104.9 112.5 106.9 118.1
2019 109.4 108.2 115.0 106.5 111.4 116.8 111.0 113.6 110.5                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-12.7775  -5.6933   0.5288   5.4509  13.6056 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  93.2796     2.1961  42.474 <0.0000000000000002 ***
ID            0.2147     0.0957   2.244              0.0309 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 6.726 on 37 degrees of freedom
Multiple R-squared:  0.1198,    Adjusted R-squared:  0.096 
F-statistic: 5.035 on 1 and 37 DF,  p-value: 0.0309



    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 = 0.48878, p-value = 0.0000000009322
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.37553, df = 1, p-value = 0.54



    Box-Ljung test

data:  lm_residuals
X-squared = 19.723, df = 1, p-value = 0.00000895
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-13.6184  -2.3580   0.1779   2.4137   8.2684 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 93.68253    0.84352  111.06 <0.0000000000000002 ***
ID           0.24906    0.01787   13.94 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.761 on 79 degrees of freedom
Multiple R-squared:  0.7108,    Adjusted R-squared:  0.7072 
F-statistic: 194.2 on 1 and 79 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1358, p-value = 0.4462
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0032, p-value = 0.0000003763
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.2697, df = 1, p-value = 0.0388



    Box-Ljung test

data:  lm_residuals
X-squared = 17.997, df = 1, p-value = 0.00002213
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-18.088  -9.499  -4.359   6.919  31.594 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 109.00877    3.09948  35.170 <0.0000000000000002 ***
ID           -0.22029    0.08985  -2.452              0.0173 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 11.75 on 57 degrees of freedom
Multiple R-squared:  0.0954,    Adjusted R-squared:  0.07953 
F-statistic: 6.011 on 1 and 57 DF,  p-value: 0.0173



    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 = 0.20526, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 7.63, df = 1, p-value = 0.00574



    Box-Ljung test

data:  lm_residuals
X-squared = 47.62, df = 1, p-value = 0.000000000005175
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-12.8592  -2.2992   0.3088   2.1890   8.1366 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 93.44256    0.82016  113.93 <0.0000000000000002 ***
ID           0.26806    0.01804   14.86 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.587 on 76 degrees of freedom
Multiple R-squared:  0.7439,    Adjusted R-squared:  0.7406 
F-statistic: 220.8 on 1 and 76 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14103, p-value = 0.4221
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.126, p-value = 0.0000132
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.8876, df = 1, p-value = 0.1695



    Box-Ljung test

data:  lm_residuals
X-squared = 14.788, df = 1, p-value = 0.0001203
  • 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