Analysis

[1] "景気動向指数個別系列:遅行系列:常用雇用指数(調査産業計)(前年同月比)(%):内閣府"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1999                                                        -0.8
2000 -1.0 -0.9 -0.6 -0.8 -0.7 -0.6 -0.6 -0.7 -1.0 -0.7 -0.6 -0.7
2001 -0.8 -0.8 -0.9 -0.9 -0.8 -1.0 -0.9 -1.0 -1.0 -1.0 -1.2 -1.0
2002 -0.9 -0.9 -1.1 -1.2 -1.4 -1.4 -1.6 -1.7 -1.4 -1.4 -1.4 -1.4
2003 -1.5 -1.4 -1.4 -1.4 -1.2 -0.9 -0.8 -0.5 -0.7 -0.7 -0.5 -0.6
2004 -0.3 -0.2  0.2  0.5  0.6  0.5  0.6  0.7  0.8  0.8  0.8  0.9
2005  1.0  0.7  0.7  0.9  1.1  1.0  0.9  0.8  0.6  0.8  0.7  0.7
2006  0.5  0.6  0.7  0.9  0.7  0.9  1.1  1.1  1.4  1.3  1.4  1.5
2007  1.8  1.9  1.9  2.2  2.4  2.7  2.8  2.9  3.0  3.2  3.5  3.4
2008  3.3  3.5  3.5  3.5  3.6  3.2  3.2  3.1  3.1  3.0  2.7  2.8
2009  2.6  2.3  1.9  1.6  0.8  0.9  0.6  0.6  0.4  0.3  0.1  0.1
2010 -0.1  0.2  0.1  0.0  0.3  0.2  0.4  0.5  0.6  0.5  0.6  0.5
2011  0.8  0.7  0.9  0.6  0.6  0.6  0.6  0.5  0.5  0.2  0.5  0.3
2012  0.4  0.6  0.4  0.4  0.6  0.5  0.3  0.2  0.1  0.4  0.0  0.4
2013 -0.1 -0.2 -0.1  0.1  0.3  0.5  0.5  0.6  0.6  0.7  0.9  0.8
2014  1.0  0.8  0.9  1.0  0.9  0.9  1.0  0.9  0.7  0.7  0.5  0.7
2015  0.9  1.1  0.8  1.2  0.9  1.0  0.9  0.9  1.0  1.1  1.2  1.3
2016  1.1  1.0  1.1  0.9  0.8  0.9  0.8  0.9  1.0  0.9  0.9  0.9
2017  1.0  1.0  1.1  1.4  1.7  1.4  1.6  1.5  1.5  1.6  1.7  1.5
2018  0.6  0.9  0.7  0.5  0.6  0.5  0.2  0.3  0.1  0.1  0.1  0.1
2019  1.3  1.2  1.1  1.1  0.8  0.9  1.2  1.2  1.5

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 
-0.45645 -0.15040 -0.02224  0.16921  0.51197 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept) 0.326451   0.075173   4.343 0.000105 ***
ID          0.003421   0.003276   1.044 0.303075    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.2302 on 37 degrees of freedom
Multiple R-squared:  0.02864,   Adjusted R-squared:  0.002383 
F-statistic: 1.091 on 1 and 37 DF,  p-value: 0.3031



    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 = 0.73924, p-value = 0.000001452
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.33666, df = 1, p-value = 0.5618



    Box-Ljung test

data:  lm_residuals
X-squared = 16.661, df = 1, p-value = 0.00004469

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.92911 -0.16079  0.08209  0.24513  0.77121 

Coefficients:
            Estimate Std. Error t value       Pr(>|t|)    
(Intercept) 0.648951   0.091157   7.119 0.000000000442 ***
ID          0.005280   0.001931   2.734        0.00772 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.4064 on 79 degrees of freedom
Multiple R-squared:  0.08643,   Adjusted R-squared:  0.07486 
F-statistic: 7.474 on 1 and 79 DF,  p-value: 0.007724



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.22222, p-value = 0.03633
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.33454, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 4.3968, df = 1, p-value = 0.03601



    Box-Ljung test

data:  lm_residuals
X-squared = 54.332, df = 1, p-value = 0.0000000000001693

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.3587 -0.5288  0.1025  0.3755  1.4800 

Coefficients:
             Estimate Std. Error t value             Pr(>|t|)    
(Intercept)  2.163063   0.188085  11.500 < 0.0000000000000002 ***
ID          -0.043063   0.005452  -7.898       0.000000000102 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.7132 on 57 degrees of freedom
Multiple R-squared:  0.5225,    Adjusted R-squared:  0.5142 
F-statistic: 62.38 on 1 and 57 DF,  p-value: 0.0000000001015



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10169, p-value = 0.9239
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.10206, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 28.248, df = 1, p-value = 0.0000001068



    Box-Ljung test

data:  lm_residuals
X-squared = 51.37, df = 1, p-value = 0.0000000000007649

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.88774 -0.14981  0.04024  0.19164  0.76629 

Coefficients:
            Estimate Std. Error t value           Pr(>|t|)    
(Intercept) 0.791508   0.086390   9.162 0.0000000000000654 ***
ID          0.002844   0.001900   1.497              0.139    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3778 on 76 degrees of freedom
Multiple R-squared:  0.02863,   Adjusted R-squared:  0.01585 
F-statistic:  2.24 on 1 and 76 DF,  p-value: 0.1386



    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 = 0.39752, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 11.84, df = 1, p-value = 0.0005796



    Box-Ljung test

data:  lm_residuals
X-squared = 47.812, df = 1, p-value = 0.000000000004691
  • 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