Analysis

[1] "景気動向指数個別系列:遅行系列:寄与度:消費者物価指数(生鮮食品を除く総合)(前年同月比):内閣府"
       Jan   Feb   Mar   Apr   May   Jun   Jul   Aug   Sep   Oct   Nov   Dec
1999                                                                    0.09
2000 -0.17  0.18 -0.16 -0.09  0.18 -0.09  0.00  0.00 -0.17 -0.08  0.10 -0.08
2001 -0.17  0.01 -0.08  0.10 -0.16  0.10  0.02  0.01  0.10  0.10 -0.07 -0.07
2002  0.10  0.02  0.10 -0.15  0.11  0.02  0.02 -0.06  0.03  0.03  0.11  0.11
2003 -0.06  0.11  0.11  0.18  0.00  0.00  0.18  0.09 -0.01  0.17 -0.19  0.09
2004 -0.09  0.09 -0.09 -0.09 -0.09  0.19 -0.09  0.00  0.19 -0.10 -0.10  0.00
2005 -0.10 -0.09  0.10  0.10  0.19 -0.20  0.00  0.10 -0.01  0.09  0.09 -0.01
2006 -0.21  0.09  0.08 -0.21  0.08  0.19 -0.02  0.08 -0.12 -0.12  0.09 -0.12
2007 -0.12 -0.12 -0.22  0.20 -0.01 -0.01 -0.01 -0.01 -0.01  0.20  0.30  0.28
2008 -0.03  0.19  0.19 -0.34  0.36  0.20  0.31 -0.03 -0.13 -0.43 -0.72 -0.69
2009 -0.19  0.01 -0.08  0.00 -0.50 -0.42 -0.33 -0.14  0.11  0.11  0.33  0.33
2010  0.01  0.10  0.01 -0.24  0.27  0.18 -0.07  0.10 -0.07  0.38  0.10  0.10
2011 -0.23  0.01  0.09  0.44  0.09 -0.08  0.27  0.09  0.00 -0.27 -0.08  0.09
2012  0.00  0.18  0.08  0.00 -0.27 -0.09 -0.09  0.00  0.18  0.09 -0.08 -0.08
2013  0.01 -0.07 -0.16  0.11  0.38  0.34  0.29  0.11 -0.08  0.19  0.27  0.07
2014 -0.03 -0.03 -0.03  0.30  0.15 -0.15 -0.06 -0.26 -0.16 -0.15 -0.24 -0.23
2015 -0.33 -0.22  0.17 -0.37 -0.22 -0.02 -0.12 -0.11 -0.02 -0.01  0.18 -0.01
2016 -0.21  0.09 -0.30 -0.09  0.01  0.00 -0.09  0.01  0.01  0.10  0.00  0.20
2017  0.29  0.10  0.00  0.10  0.09 -0.01  0.09  0.18 -0.01  0.09  0.09 -0.02
2018 -0.02  0.08 -0.13 -0.22 -0.01  0.10  0.00  0.10  0.10  0.00 -0.10 -0.19
2019  0.11 -0.09  0.11  0.12 -0.08 -0.18  0.02 -0.10 -0.21

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 
-0.35114 -0.09165  0.00031  0.07691  0.38459 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)  
(Intercept)  0.143644   0.053651   2.677   0.0110 *
ID          -0.004644   0.002338  -1.986   0.0544 .
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1643 on 37 degrees of freedom
Multiple R-squared:  0.09636,   Adjusted R-squared:  0.07194 
F-statistic: 3.946 on 1 and 37 DF,  p-value: 0.05444



    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 = 1.8873, p-value = 0.2988
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.87181, df = 1, p-value = 0.3505



    Box-Ljung test

data:  lm_residuals
X-squared = 0.12731, df = 1, p-value = 0.7212

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.37193 -0.09161  0.00284  0.10724  0.36635 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0161975  0.0354313   0.457    0.649
ID          -0.0005095  0.0007507  -0.679    0.499

Residual standard error: 0.158 on 79 degrees of freedom
Multiple R-squared:  0.005797,  Adjusted R-squared:  -0.006788 
F-statistic: 0.4606 on 1 and 79 DF,  p-value: 0.4993



    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 = 1.159, p-value = 0.00002039
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 8.7705, df = 1, p-value = 0.003061



    Box-Ljung test

data:  lm_residuals
X-squared = 14.252, df = 1, p-value = 0.0001599

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.66118 -0.11203  0.01788  0.12486  0.44410 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.072022   0.062819  -1.147    0.256
ID           0.001887   0.001821   1.036    0.305

Residual standard error: 0.2382 on 57 degrees of freedom
Multiple R-squared:  0.01848,   Adjusted R-squared:  0.001263 
F-statistic: 1.073 on 1 and 57 DF,  p-value: 0.3046



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15254, p-value = 0.5021
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.90192, p-value = 0.0000009176
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 10.174, df = 1, p-value = 0.001424



    Box-Ljung test

data:  lm_residuals
X-squared = 16.413, df = 1, p-value = 0.00005094

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.37922 -0.10046  0.00443  0.10713  0.35291 

Coefficients:
              Estimate Std. Error t value Pr(>|t|)
(Intercept)  0.0286480  0.0364351   0.786    0.434
ID          -0.0007772  0.0008014  -0.970    0.335

Residual standard error: 0.1593 on 76 degrees of freedom
Multiple R-squared:  0.01222,   Adjusted R-squared:  -0.0007722 
F-statistic: 0.9406 on 1 and 76 DF,  p-value: 0.3352



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.81
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.1385, p-value = 0.00001756
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 10.586, df = 1, p-value = 0.001139



    Box-Ljung test

data:  lm_residuals
X-squared = 14.348, df = 1, p-value = 0.000152
  • 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