Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:実質法人企業設備投資(全産業):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.07
2000  0.12  0.12  0.12 -0.12 -0.11 -0.11 -0.03 -0.03 -0.03  0.34  0.28  0.29
2001 -0.01 -0.01 -0.01 -0.12 -0.11 -0.11  0.11  0.11  0.11 -0.25 -0.27 -0.27
2002 -0.02 -0.02 -0.02 -0.06 -0.06 -0.06  0.11  0.11  0.11  0.16  0.16  0.15
2003 -0.01 -0.02 -0.02  0.14  0.14  0.13 -0.04 -0.04 -0.04  0.32  0.29  0.29
2004  0.05  0.05  0.05  0.06  0.06  0.05  0.09  0.09  0.08 -0.08 -0.08 -0.08
2005  0.10  0.10  0.10  0.08  0.08  0.07  0.16  0.16  0.16 -0.06 -0.06 -0.05
2006  0.14  0.13  0.13  0.26  0.24  0.23 -0.03 -0.03 -0.03  0.11  0.10  0.09
2007 -0.10 -0.10 -0.10 -0.38 -0.43 -0.46  0.11  0.11  0.10 -0.23 -0.23 -0.23
2008  0.00  0.00 -0.01 -0.55 -0.42 -0.55 -0.20 -0.20 -0.20 -0.38 -0.37 -0.36
2009 -0.28 -0.27 -0.27 -0.15 -0.15 -0.14 -0.17 -0.16 -0.16  0.01  0.01  0.00
2010 -0.03 -0.03 -0.03  0.25  0.25  0.25  0.15  0.15  0.15 -0.08 -0.08 -0.08
2011  0.00  0.00  0.00 -0.07 -0.16 -0.16  0.14  0.14  0.14  0.29  0.35  0.46
2012 -0.15 -0.05 -0.15  0.00  0.00 -0.01  0.01  0.01  0.02  0.07  0.07  0.07
2013  0.04  0.04  0.04  0.16  0.16  0.15  0.04  0.04  0.04  0.10  0.10  0.09
2014  0.09  0.09  0.08 -0.02 -0.02 -0.02  0.06  0.06  0.05 -0.03 -0.03 -0.03
2015  0.19  0.18  0.17 -0.02 -0.02 -0.02  0.23  0.22  0.22 -0.11 -0.11 -0.12
2016  0.02  0.02  0.02 -0.01 -0.01 -0.02  0.02  0.02  0.02  0.05  0.06  0.06
2017  0.00  0.00 -0.01 -0.14 -0.14 -0.14  0.12  0.11  0.11  0.01  0.01  0.01
2018 -0.02 -0.02 -0.02  0.19  0.18  0.18 -0.19 -0.19 -0.19  0.04  0.04  0.04
2019  0.01  0.01  0.01  0.00  0.00  0.00

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 
-0.20897 -0.08393 -0.04505  0.09215  0.41326 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0553711  0.0473791   1.169    0.250
ID          -0.0003198  0.0020645  -0.155    0.878

Residual standard error: 0.1451 on 37 degrees of freedom
Multiple R-squared:  0.0006482, Adjusted R-squared:  -0.02636 
F-statistic: 0.024 on 1 and 37 DF,  p-value: 0.8777



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.33333, p-value = 0.02558
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.90834, p-value = 0.00004184
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.088426, df = 1, p-value = 0.7662



    Box-Ljung test

data:  lm_residuals
X-squared = 12.455, df = 1, p-value = 0.0004168

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.187387 -0.039235 -0.002867  0.038086  0.189752 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)    
(Intercept)  0.0771562  0.0208781   3.696 0.000412 ***
ID          -0.0011906  0.0004592  -2.593 0.011416 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.09131 on 76 degrees of freedom
Multiple R-squared:  0.08126,   Adjusted R-squared:  0.06917 
F-statistic: 6.722 on 1 and 76 DF,  p-value: 0.01142



    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 = 1.0527, p-value = 0.000002206
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.5415, df = 1, p-value = 0.1109



    Box-Ljung test

data:  lm_residuals
X-squared = 18.089, df = 1, p-value = 0.00002108

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.32170 -0.09942 -0.03221  0.08898  0.40687 

Coefficients:
             Estimate Std. Error t value    Pr(>|t|)    
(Intercept) -0.241701   0.041194  -5.867 0.000000237 ***
ID           0.006701   0.001194   5.611 0.000000617 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1562 on 57 degrees of freedom
Multiple R-squared:  0.3558,    Adjusted R-squared:  0.3445 
F-statistic: 31.49 on 1 and 57 DF,  p-value: 0.0000006172



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16949, p-value = 0.3674
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.66716, p-value = 0.0000000006401
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00002203, df = 1, p-value = 0.9963



    Box-Ljung test

data:  lm_residuals
X-squared = 26.174, df = 1, p-value = 0.0000003119

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-0.185767 -0.044733  0.001526  0.038758  0.190314 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)    
(Intercept)  0.0793766  0.0216601   3.665 0.000467 ***
ID          -0.0013064  0.0004953  -2.638 0.010193 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.09285 on 73 degrees of freedom
Multiple R-squared:  0.08702,   Adjusted R-squared:  0.07451 
F-statistic: 6.958 on 1 and 73 DF,  p-value: 0.01019



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.16, p-value = 0.2937
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.0364, p-value = 0.000002176
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.8358, df = 1, p-value = 0.1754



    Box-Ljung test

data:  lm_residuals
X-squared = 17.697, df = 1, p-value = 0.00002591
  • 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