Analysis

[1] "景気動向指数個別系列:遅行系列: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                                                        -0.1
2000 -0.3 -0.1 -0.3 -0.4 -0.2 -0.3 -0.3 -0.3 -0.5 -0.6 -0.5 -0.6
2001 -0.8 -0.8 -0.9 -0.8 -1.0 -0.9 -0.9 -0.9 -0.8 -0.7 -0.8 -0.9
2002 -0.8 -0.8 -0.7 -0.9 -0.8 -0.8 -0.8 -0.9 -0.9 -0.9 -0.8 -0.7
2003 -0.8 -0.7 -0.6 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1  0.1 -0.1  0.0
2004 -0.1  0.0 -0.1 -0.2 -0.3 -0.1 -0.2 -0.2  0.0 -0.1 -0.2 -0.2
2005 -0.3 -0.4 -0.3 -0.2  0.0 -0.2 -0.2 -0.1 -0.1  0.0  0.1  0.1
2006 -0.1  0.0  0.1 -0.1  0.0  0.2  0.2  0.3  0.2  0.1  0.2  0.1
2007  0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1  0.1  0.4  0.8
2008  0.8  1.0  1.2  0.9  1.5  1.9  2.4  2.4  2.3  1.9  1.0  0.2
2009  0.0  0.0 -0.1 -0.1 -1.1 -1.7 -2.2 -2.4 -2.3 -2.2 -1.7 -1.3
2010 -1.3 -1.2 -1.2 -1.5 -1.2 -1.0 -1.1 -1.0 -1.1 -0.6 -0.5 -0.4
2011 -0.8 -0.8 -0.7 -0.2 -0.1 -0.2  0.1  0.2  0.2 -0.1 -0.2 -0.1
2012 -0.1  0.1  0.2  0.2 -0.1 -0.2 -0.3 -0.3 -0.1  0.0 -0.1 -0.2
2013 -0.2 -0.3 -0.5 -0.4  0.0  0.4  0.7  0.8  0.7  0.9  1.2  1.3
2014  1.3  1.3  1.3  3.2  3.4  3.3  3.3  3.1  3.0  2.9  2.7  2.5
2015  2.2  2.0  2.2  0.3  0.1  0.1  0.0 -0.1 -0.1 -0.1  0.1  0.1
2016 -0.1  0.0 -0.3 -0.4 -0.4 -0.4 -0.5 -0.5 -0.5 -0.4 -0.4 -0.2
2017  0.1  0.2  0.2  0.3  0.4  0.4  0.5  0.7  0.7  0.8  0.9  0.9
2018  0.9  1.0  0.9  0.7  0.7  0.8  0.8  0.9  1.0  1.0  0.9  0.7
2019  0.8  0.7  0.8  0.9  0.8  0.6  0.6  0.5  0.3

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 
-0.80333 -0.21797 -0.02985  0.24529  0.59999 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept) -1.441970   0.106425 -13.549 0.000000000000000643 ***
ID           0.045304   0.004637   9.769 0.000000000008637938 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3259 on 37 degrees of freedom
Multiple R-squared:  0.7206,    Adjusted R-squared:  0.7131 
F-statistic: 95.44 on 1 and 37 DF,  p-value: 0.000000000008638



    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 = 0.43675, p-value = 0.0000000001134
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.082674, df = 1, p-value = 0.7737



    Box-Ljung test

data:  lm_residuals
X-squared = 18.58, df = 1, p-value = 0.00001629

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-1.56452 -0.77767  0.06985  0.32722  2.45022 

Coefficients:
             Estimate Std. Error t value  Pr(>|t|)    
(Intercept)  1.089105   0.224789   4.845 0.0000062 ***
ID          -0.008196   0.004763  -1.721    0.0892 .  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.002 on 79 degrees of freedom
Multiple R-squared:  0.03613,   Adjusted R-squared:  0.02393 
F-statistic: 2.961 on 1 and 79 DF,  p-value: 0.0892



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12346, p-value = 0.5705
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.11347, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 18.231, df = 1, p-value = 0.00001957



    Box-Ljung test

data:  lm_residuals
X-squared = 73.127, df = 1, p-value < 0.00000000000000022

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-2.2217 -0.7648  0.1829  0.4316  2.4667 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.029515   0.283536  -0.104    0.917
ID          -0.009299   0.008219  -1.131    0.263

Residual standard error: 1.075 on 57 degrees of freedom
Multiple R-squared:  0.02196,   Adjusted R-squared:  0.004802 
F-statistic:  1.28 on 1 and 57 DF,  p-value: 0.2627



    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 = 0.08481, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 23.199, df = 1, p-value = 0.000001461



    Box-Ljung test

data:  lm_residuals
X-squared = 54.78, df = 1, p-value = 0.0000000000001348

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.6765 -0.8512  0.1051  0.4054  2.2862 

Coefficients:
             Estimate Std. Error t value    Pr(>|t|)    
(Intercept)  1.288978   0.223186   5.775 0.000000159 ***
ID          -0.012509   0.004909  -2.548      0.0128 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.9761 on 76 degrees of freedom
Multiple R-squared:  0.07872,   Adjusted R-squared:  0.06659 
F-statistic: 6.494 on 1 and 76 DF,  p-value: 0.01284



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.21795, p-value = 0.04892
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.12373, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 18.53, df = 1, p-value = 0.00001673



    Box-Ljung test

data:  lm_residuals
X-squared = 68.402, df = 1, p-value < 0.00000000000000022
  • 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