Analysis

[1] "マネタリーベース:マネタリーベース平均残高/うち日本銀行券発行高:兆円:日本銀行"
          Jan      Feb      Mar      Apr      May      Jun      Jul      Aug      Sep      Oct      Nov      Dec
2000  56.6194  52.8835  54.0866  55.4012  54.4058  53.0318  54.2879  53.7489  53.7160  54.8034  55.5209  59.5613
2001  58.9233  56.3757  57.0388  57.5153  57.7040  57.7253  59.5119  58.5255  58.3735  59.0130  59.9689  64.3769
2002  64.8110  63.3389  65.3759  66.8155  66.8968  66.1411  66.8793  66.6929  66.2761  66.4395  67.0184  70.8145
2003  70.8834  68.6170  69.5076  69.8211  70.0112  69.6116  70.4165  70.1656  69.6304  69.5638  69.9673  73.1283
2004  72.7139  70.4728  70.7069  70.9062  71.2335  70.2819  71.1698  71.0146  71.1848  71.0096  72.4627  74.8668
2005  74.6097  72.2207  73.3042  74.0715  74.0809  72.7636  73.6087  73.2365  73.0651  73.0566  73.2589  76.3121
2006  76.0040  73.8828  74.3874  74.3547  74.5519  73.4456  74.0971  74.0449  73.7148  73.7348  73.9249  76.6969
2007  76.5125  74.8201  75.3603  75.3051  75.3971  74.6596  75.2954  74.9744  74.7946  74.9865  75.1580  78.0036
2008  77.6902  75.6569  75.9282  75.7564  75.9585  75.1914  75.7150  75.6144  75.1178  75.6037  75.9854  78.4262
2009  77.9825  76.1880  76.5414  76.4847  76.8223  75.8829  76.2666  75.9799  75.8706  75.6165  75.7397  78.1778
2010  77.8306  76.2861  76.8243  77.1365  77.2490  76.4129  77.0592  76.8583  76.6008  76.7644  77.0922  79.7052
2011  79.4111  78.1300  79.6912  79.9807  79.4811  78.5057  79.1240  78.9717  78.8044  78.7220  78.9721  81.5720
2012  81.2462  79.8710  80.4460  80.6725  80.7450  80.2079  80.9465  80.8736  80.6118  80.7704  81.0887  83.8665
2013  83.8266  82.3430  82.8371  83.1109  83.2813  82.8305  83.4873  83.5572  83.3865  83.5418  83.9935  87.0015
2014  87.1198  85.4749  86.1177  86.0389  86.1273  85.6484  86.3217  86.4799  86.2960  86.5271  87.0990  90.1074
2015  90.1357  88.6755  89.2520  89.5381  89.9665  89.6714  90.6796  91.0354  91.3980  91.7792  92.4879  95.5628
2016  95.6932  94.4904  95.1906  95.6074  95.7942  95.1991  96.0075  96.2598  96.1605  96.4126  96.8657  99.8207
2017 100.0204  98.7652  99.4636  99.6652  99.9953  99.5829 100.3958 100.7793 100.5588 100.9036 101.4718 104.2023
2018 104.4482 103.3046 103.7590 103.9157 104.0264 103.7681 104.4800 104.6482 104.5699 104.7072 105.0606 107.7249
2019 107.9375 106.6271 107.2160 108.7111 108.7770 106.9431 107.4323 107.4413 107.1112 107.1156 107.3738

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 
-1.1377 -0.6599 -0.3499  0.3479  2.1244 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 75.95911    0.29263  259.57 < 0.0000000000000002 ***
ID           0.14828    0.01275   11.63   0.0000000000000643 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.8962 on 37 degrees of freedom
Multiple R-squared:  0.7852,    Adjusted R-squared:  0.7794 
F-statistic: 135.2 on 1 and 37 DF,  p-value: 0.00000000000006427



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.20513, p-value = 0.3888
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.322, p-value = 0.00869
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00096784, df = 1, p-value = 0.9752



    Box-Ljung test

data:  lm_residuals
X-squared = 2.8235, df = 1, p-value = 0.09289

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-2.45491 -0.89725 -0.06327  0.73586  2.59164 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 80.886251   0.260352  310.68 <0.0000000000000002 ***
ID           0.348704   0.005384   64.76 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.175 on 81 degrees of freedom
Multiple R-squared:  0.9811,    Adjusted R-squared:  0.9808 
F-statistic:  4194 on 1 and 81 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.084337, p-value = 0.9317
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.66649, p-value = 0.0000000000004813
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.28927, df = 1, p-value = 0.5907



    Box-Ljung test

data:  lm_residuals
X-squared = 31.994, df = 1, p-value = 0.00000001547

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.6297 -0.6940 -0.1257  0.5887  2.7237 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 74.739479   0.268620  278.24 <0.0000000000000002 ***
ID           0.120381   0.007787   15.46 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.019 on 57 degrees of freedom
Multiple R-squared:  0.8074,    Adjusted R-squared:  0.8041 
F-statistic:   239 on 1 and 57 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.11864, p-value = 0.8052
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.92727, p-value = 0.000001719
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0088295, df = 1, p-value = 0.9251



    Box-Ljung test

data:  lm_residuals
X-squared = 16.636, df = 1, p-value = 0.00004528

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-2.56680 -0.87717 -0.05816  0.70356  2.37802 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 81.709896   0.259127  315.33 <0.0000000000000002 ***
ID           0.352884   0.005558   63.49 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.148 on 78 degrees of freedom
Multiple R-squared:  0.981, Adjusted R-squared:  0.9808 
F-statistic:  4031 on 1 and 78 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.125, p-value = 0.5625
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.69274, p-value = 0.000000000004287
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 1.8574, df = 1, p-value = 0.1729



    Box-Ljung test

data:  lm_residuals
X-squared = 31.534, df = 1, p-value = 0.0000000196
  • 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