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(前年比):%:日本銀行"
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
2000 11.3  7.5  8.0 10.4  7.8  6.6  5.7  5.6  6.6  7.9  8.5  3.8
2001  4.1  6.6  5.5  3.8  6.1  8.9  9.6  8.9  8.7  7.7  8.0  8.1
2002 10.0 12.4 14.6 16.2 15.9 14.6 12.4 14.0 13.5 12.6 11.8 10.0
2003  9.4  8.3  6.3  4.5  4.7  5.2  5.3  5.2  5.1  4.7  4.4  3.3
2004  2.6  2.7  1.7  1.6  1.7  1.0  1.1  1.2  2.2  2.1  3.6  2.4
2005  2.6  2.5  3.7  4.5  4.0  3.5  3.4  3.1  2.6  2.9  1.1  1.9
2006  1.9  2.3  1.5  0.4  0.6  0.9  0.7  1.1  0.9  0.9  0.9  0.5
2007  0.7  1.3  1.3  1.3  1.1  1.7  1.6  1.3  1.5  1.7  1.7  1.7
2008  1.5  1.1  0.8  0.6  0.7  0.7  0.6  0.9  0.4  0.8  1.1  0.5
2009  0.4  0.7  0.8  1.0  1.1  0.9  0.7  0.5  1.0  0.0 -0.3 -0.3
2010 -0.2  0.1  0.4  0.9  0.6  0.7  1.0  1.2  1.0  1.5  1.8  2.0
2011  2.0  2.4  3.7  3.7  2.9  2.7  2.7  2.7  2.9  2.6  2.4  2.3
2012  2.3  2.2  0.9  0.9  1.6  2.2  2.3  2.4  2.3  2.6  2.7  2.8
2013  3.2  3.1  3.0  3.0  3.1  3.3  3.1  3.3  3.4  3.4  3.6  3.7
2014  3.9  3.8  4.0  3.5  3.4  3.4  3.4  3.5  3.5  3.6  3.7  3.6
2015  3.5  3.7  3.6  4.1  4.5  4.7  5.0  5.3  5.9  6.1  6.2  6.1
2016  6.2  6.6  6.7  6.8  6.5  6.2  5.9  5.7  5.2  5.0  4.7  4.5
2017  4.5  4.5  4.5  4.2  4.4  4.6  4.6  4.7  4.6  4.7  4.8  4.4
2018  4.4  4.6  4.3  4.3  4.0  4.2  4.1  3.8  4.0  3.8  3.5  3.4
2019  3.3  3.2  3.3  4.6  4.6  3.1  2.8  2.7  2.4  2.3  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 
-1.5733 -0.4265 -0.1434  0.5086  2.0709 

Coefficients:
            Estimate Std. Error t value   Pr(>|t|)    
(Intercept)  0.46019    0.26571   1.732     0.0916 .  
ID           0.06494    0.01158   5.609 0.00000213 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.8138 on 37 degrees of freedom
Multiple R-squared:  0.4595,    Adjusted R-squared:  0.4449 
F-statistic: 31.46 on 1 and 37 DF,  p-value: 0.000002127



    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 = 0.26025, p-value = 0.000000000000004418
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.00024804, df = 1, p-value = 0.9874



    Box-Ljung test

data:  lm_residuals
X-squared = 31.375, df = 1, p-value = 0.00000002127

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-2.0407 -0.7717 -0.1732  0.4361  2.6020 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 4.1583015  0.2397486   17.34 <0.0000000000000002 ***
ID          0.0009928  0.0049583    0.20               0.842    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.082 on 81 degrees of freedom
Multiple R-squared:  0.0004947, Adjusted R-squared:  -0.01184 
F-statistic: 0.04009 on 1 and 81 DF,  p-value: 0.8418



    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 = 0.081394, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.19229, df = 1, p-value = 0.661



    Box-Ljung test

data:  lm_residuals
X-squared = 74.815, df = 1, p-value < 0.00000000000000022

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.4757 -0.3332  0.0640  0.3751  1.9298 

Coefficients:
            Estimate Std. Error t value         Pr(>|t|)    
(Intercept)  0.13986    0.18731   0.747            0.458    
ID           0.04658    0.00543   8.579 0.00000000000758 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.7102 on 57 degrees of freedom
Multiple R-squared:  0.5635,    Adjusted R-squared:  0.5559 
F-statistic:  73.6 on 1 and 57 DF,  p-value: 0.000000000007576



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.13559, p-value = 0.6544
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.31863, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.18887, df = 1, p-value = 0.6639



    Box-Ljung test

data:  lm_residuals
X-squared = 43.355, df = 1, p-value = 0.00000000004565

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
    Min      1Q  Median      3Q     Max 
-1.9584 -0.7926 -0.1329  0.4394  2.5514 

Coefficients:
             Estimate Std. Error t value            Pr(>|t|)    
(Intercept)  4.326171   0.243733  17.750 <0.0000000000000002 ***
ID          -0.002097   0.005228  -0.401               0.689    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 1.08 on 78 degrees of freedom
Multiple R-squared:  0.002058,  Adjusted R-squared:  -0.01074 
F-statistic: 0.1609 on 1 and 78 DF,  p-value: 0.6895



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1125, p-value = 0.6953
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.084632, p-value < 0.00000000000000022
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.014471, df = 1, p-value = 0.9042



    Box-Ljung test

data:  lm_residuals
X-squared = 71.351, 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