Analysis

[1] "マネタリーベース:マネタリーベース平均残高/うち貨幣流通高(前年比):%:日本銀行"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2000  1.6  1.6  1.4  1.3  1.1  1.1  1.0  1.9  1.8  1.6  1.4  0.9
2001  0.9  1.2  1.4  1.5  1.6  1.7  1.9  1.0  1.0  1.2  1.3  1.6
2002  1.7  1.6  1.5  1.6  1.9  2.0  2.0  2.0  2.1  2.1  2.1  1.9
2003  1.7  1.9  2.0  1.7  1.2  1.2  1.3  1.3  1.4  1.4  1.4  1.4
2004  1.3  1.4  1.5  1.5  1.7  1.9  1.9  1.9  1.9  2.0  1.9  1.7
2005  1.6  1.9  2.0  1.9  1.6  1.2  0.8  0.6  0.5  0.4  0.4  0.3
2006  0.3  0.1  0.0  0.2  0.4  0.6  0.7  0.8  0.8  0.8  0.7  0.6
2007  0.7  0.8  0.9  0.8  0.7  0.7  0.7  0.7  0.8  0.9  0.9  1.0
2008  1.0  1.0  1.0  0.9  0.8  0.8  0.8  0.7  0.7  0.6  0.5  0.4
2009  0.2  0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.4 -0.7
2010 -0.7 -0.7 -0.6 -0.5 -0.4 -0.3 -0.4 -0.3 -0.4 -0.5 -0.4 -0.4
2011 -0.2 -0.1  0.0  0.1  0.1  0.0  0.0  0.0  0.0  0.0  0.0  0.2
2012  0.1  0.1  0.1 -0.1 -0.1  0.0  0.2  0.3  0.4  0.4  0.4  0.5
2013  0.6  0.7  0.7  0.8  0.9  1.0  1.0  1.0  1.0  1.1  1.1  1.1
2014  1.1  1.0  1.1  1.1  1.0  1.0  1.0  0.9  0.9  0.9  0.8  0.7
2015  0.7  0.8  0.9  0.8  0.7  0.7  0.6  0.6  0.7  0.9  0.9  0.8
2016  0.7  0.7  0.8  0.9  1.0  1.0  1.0  1.1  1.0  0.9  1.0  1.1
2017  1.1  1.1  1.0  1.1  1.1  1.2  1.2  1.2  1.2  1.2  1.2  1.1
2018  1.1  1.2  1.2  1.1  1.0  1.0  0.9  0.9  1.0  1.0  1.1  1.1
2019  1.2  1.4  1.7  2.0  2.3  2.3  2.3  2.2  2.2  2.2  2.2

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 
-0.28923 -0.10538  0.01385  0.09077  0.39769 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) -0.623077   0.048831  -12.76 0.00000000000000405 ***
ID           0.025385   0.002128   11.93 0.00000000000003031 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.1496 on 37 degrees of freedom
Multiple R-squared:  0.7937,    Adjusted R-squared:  0.7881 
F-statistic: 142.3 on 1 and 37 DF,  p-value: 0.00000000000003031



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.12821, p-value = 0.9114
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.55459, p-value = 0.00000000944
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.8362, df = 1, p-value = 0.1754



    Box-Ljung test

data:  lm_residuals
X-squared = 15.99, df = 1, p-value = 0.00006368

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.48639 -0.20870 -0.08642  0.19675  0.81364 

Coefficients:
            Estimate Std. Error t value           Pr(>|t|)    
(Intercept) 0.631061   0.069538   9.075 0.0000000000000564 ***
ID          0.011108   0.001438   7.724 0.0000000000262318 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3139 on 81 degrees of freedom
Multiple R-squared:  0.4241,    Adjusted R-squared:  0.417 
F-statistic: 59.66 on 1 and 81 DF,  p-value: 0.00000000002623



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.14458, p-value = 0.3526
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.089531, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 20.531, df = 1, p-value = 0.000005868



    Box-Ljung test

data:  lm_residuals
X-squared = 74.237, df = 1, p-value < 0.00000000000000022

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.72033 -0.22552 -0.04853  0.28291  0.81085 

Coefficients:
             Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.012332   0.108854  -0.113     0.91
ID           0.001485   0.003156   0.470     0.64

Residual standard error: 0.4128 on 57 degrees of freedom
Multiple R-squared:  0.003868,  Adjusted R-squared:  -0.01361 
F-statistic: 0.2213 on 1 and 57 DF,  p-value: 0.6398



    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 = 0.066977, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 9.9199, df = 1, p-value = 0.001635



    Box-Ljung test

data:  lm_residuals
X-squared = 51.675, df = 1, p-value = 0.0000000000006549

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-0.48680 -0.21413 -0.08604  0.21511  0.81289 

Coefficients:
            Estimate Std. Error t value          Pr(>|t|)    
(Intercept) 0.662373   0.072179   9.177 0.000000000000049 ***
ID          0.011145   0.001548   7.199 0.000000000329150 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.3198 on 78 degrees of freedom
Multiple R-squared:  0.3992,    Adjusted R-squared:  0.3915 
F-statistic: 51.82 on 1 and 78 DF,  p-value: 0.0000000003291



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.25, p-value = 0.01319
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.087589, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 18.843, df = 1, p-value = 0.00001419



    Box-Ljung test

data:  lm_residuals
X-squared = 71.671, 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