Analysis

[1] "景気動向指数個別系列:遅行系列:家計消費支出(勤労者世帯)(前年同月比)(%):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    -5.9
2000  -4.1   2.9  -1.9   2.7  -2.1  -3.5  -4.3  -3.8  -0.1  -1.3  -3.0   0.5
2001   0.2   1.3   0.6  -5.2  -3.2  -2.9  -2.0  -2.1  -1.4   0.3   2.3  -6.1
2002  -1.3  -5.1  -2.5  -0.2  -1.2   1.2  -0.1  -1.7   2.7  -1.2  -3.8  -4.0
2003  -2.7  -1.7  -2.6  -0.8  -2.6   0.0  -5.7   2.6  -2.6  -1.1   0.2   0.5
2004   3.5   7.6  -0.7   6.2   5.5  -1.4   2.7  -0.9   0.4   0.4  -0.3  -3.0
2005   2.0  -5.2   1.3  -2.9  -2.1   0.3  -3.3  -0.9  -0.7   0.6   0.2   2.7
2006  -4.1  -0.2  -3.8  -3.9  -2.1  -2.3  -1.5  -3.4  -5.9  -2.3  -0.9  -2.9
2007   1.0  -2.8  -0.3   0.4   0.9  -0.6   0.4   3.4   5.3   2.4  -0.9   2.7
2008   3.9   2.5   1.1   0.4   0.6   2.6   2.7  -0.7  -1.1  -4.0   2.4  -3.7
2009  -5.7  -1.0   0.5   0.3   0.6  -2.8  -4.2  -1.4  -1.9  -2.3  -2.1  -1.7
2010   0.0  -3.5   2.3  -3.7  -4.4  -0.5   0.0   1.8   1.9   4.7   2.0  -2.7
2011  -1.2  -0.6 -11.0  -2.1  -0.7  -3.9  -2.3  -4.5  -2.8  -2.0  -4.7   0.7
2012  -2.7   3.2   5.0   4.4   1.2   2.4   1.0   0.5   0.3   0.3   1.7   2.1
2013   3.8   2.0   6.5   0.4   1.1   1.2  -0.7   0.6   5.2   0.4   0.3  -0.3
2014   1.5  -1.4   9.6  -3.1  -4.8  -0.3   0.4  -2.2  -3.7  -0.1   1.7  -0.2
2015  -1.6  -1.1  -8.5   1.3   8.3  -0.9   1.0   3.7  -1.6  -2.0  -3.7  -4.8
2016  -2.6   2.2  -4.9   1.1  -3.3  -5.6  -3.9  -5.0  -0.8  -1.3  -0.3   2.6
2017  -1.7   0.1   0.7  -2.4   2.8   7.2   2.1   0.0  -0.4   2.6   2.4   0.8
2018   2.6  -4.4  -0.6   1.5  -5.3  -1.6   0.4   6.1   1.5  -1.4  -0.6  -2.2
2019   1.9   3.6   4.2   0.7   2.3   5.6   3.6   1.7   8.0

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 
-10.2286  -1.7408  -0.0603   1.6433   5.8677 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)  
(Intercept) -2.19825    0.98784  -2.225   0.0322 *
ID           0.07927    0.04304   1.842   0.0736 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.025 on 37 degrees of freedom
Multiple R-squared:  0.08397,   Adjusted R-squared:  0.05921 
F-statistic: 3.392 on 1 and 37 DF,  p-value: 0.07356



    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 = 1.348, p-value = 0.01105
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.054556, df = 1, p-value = 0.8153



    Box-Ljung test

data:  lm_residuals
X-squared = 4.4116, df = 1, p-value = 0.03569

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
   Min     1Q Median     3Q    Max 
-8.642 -2.162 -0.154  1.616  9.632 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.24978    0.75757  -0.330    0.742
ID           0.01452    0.01605   0.905    0.368

Residual standard error: 3.378 on 79 degrees of freedom
Multiple R-squared:  0.01026,   Adjusted R-squared:  -0.002271 
F-statistic: 0.8187 on 1 and 79 DF,  p-value: 0.3683



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.08642, p-value = 0.9254
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5215, p-value = 0.01047
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.25085, df = 1, p-value = 0.6165



    Box-Ljung test

data:  lm_residuals
X-squared = 3.4445, df = 1, p-value = 0.06346

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-10.7650  -2.1223   0.1784   1.9181   5.5527 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)  
(Intercept) -1.95926    0.78625  -2.492   0.0156 *
ID           0.04926    0.02279   2.161   0.0349 *
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 2.981 on 57 degrees of freedom
Multiple R-squared:  0.07575,   Adjusted R-squared:  0.05954 
F-statistic: 4.672 on 1 and 57 DF,  p-value: 0.03488



    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 = 1.2543, p-value = 0.0008801
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.11693, df = 1, p-value = 0.7324



    Box-Ljung test

data:  lm_residuals
X-squared = 7.0146, df = 1, p-value = 0.008085

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-8.2714 -1.9185  0.1458  1.8495 10.1614 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)  
(Intercept) -0.89417    0.75379  -1.186   0.2392  
ID           0.02773    0.01658   1.673   0.0985 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 3.297 on 76 degrees of freedom
Multiple R-squared:  0.03551,   Adjusted R-squared:  0.02282 
F-statistic: 2.798 on 1 and 76 DF,  p-value: 0.09849



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11538, p-value = 0.6802
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5863, p-value = 0.02429
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.16604, df = 1, p-value = 0.6837



    Box-Ljung test

data:  lm_residuals
X-squared = 2.5806, df = 1, p-value = 0.1082
  • 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