No.28 2003 11 Abstract The purpose of this paper is to clarify the relationship between business bankruptcy and macro-economic indices. The method is a multiple linear regression model. As dependent variables, Bankruptcy number of enterprises, the rate of the bankruptcy, and the liabilities of all the bankrupt enterprises are used. The following conclusions were drawn as a result of examining the multiple linear regression analysis. First, the bankruptcy number of cases (logarithm) is explained by two macro-economic indices, a stock price and the job offers to applicants ratio. Secondly, the rate of bankruptcy is explained by four variables, New dwelling construction started, Money stock(m2+cd), Public demand and Outlay of the general government. And thirdly, the liabilities of all the bankrupt enterprises (logarithm) are explained by three macro-economic indices, corporate liquidity, the number of registration of industrial property, and a research and development expenditure. Furthermore, it is discussed about the relation between these three dependent variables. 1) DIP 2) - 47 -
3) 4) 5) 20 20 64 6) 4 (cross-correlation) 2 (lag) (SAS ARIMA ) ( ) ( ) 7) 4 2002 8) ( ) 7 10.310-0.140 0.089 0.184 6 0.036 0.001 0.008 0.136 RSQ 0.882 7 RSQ 0.882 7 k - 48 -
No.28 2003 11 R 2 ˆ = 1 2 ( y y) n 1 2 ( y y) n k 1 n, k (multicollinearity) 2 2002 2002 3 ( ) 2 4 ( ) 3 3 3 35 1 2 3 4 1. - 49 -
2002 ( ) ( ) 9) ( ) 3 ( ) 1.1 1980 2000 21 1 ( ) 1,000 2 2 100 3 35 GDP - 50 -
No.28 2003 11 6 GDP ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 4 ( ) 10) 5 6 7 ( ) 100 4 3 4 8 [( ) ] 100 4 3 4 11) 10 12) - 51 -
11 12 13 14 GDP GDP 15 13) 16 14) 17 SNA 3 15) 18 19 20 16) 21-52 -
No.28 2003 11 22 (CPI) CPI 17) 23 (WPI) 1 18) 24 GDP 100 25 3 9 1990 3 100 3 26 6 6 2002 3 27 12 12 28-53 -
19) 29 ( ) ( ) ( ) ( ) ( ) 20) 30 ( ) M1 M2 CD M3 CD 4 M2 CD 21) 31 4 4 32 33 22) 34 12 12 35 10 23) - 54 -
No.28 2003 11 36 37 38 1.2 35 y ( ) 1 24) ( multicollinearity ) 25) F ( ) 1 26) 1 F - 55 -
SPSS F 0.05 0.10 1.2.1 1 企業倒産件数 ( 対数 ) 企業倒産率 倒産企業の負債総額 実質化 対数データ 実質化 対数データ 実質化 対数データ 1 企業倒産件数 1.000 1.000.783**.783**.477*.477* 2 企業倒産率.783**.783** 1.000 1.000-0.115-0.115 3 倒産企業の負債総額 0.477*.477* -0.115-0.115 1.000 1.000 4 為替相場 0.371 0.3.836**.808** -.509* -.575** 5 輸入 -0.178-0.244 -.726** -.769**.698**.641** 6 輸出 0.13 0.097-0.263-0.28.737**.713** 7 売上高経常利益率 -.577** -.577** -0.216-0.216 -.513* -.513* 8 手元流動性 -878** -.878** -.874** -.874** -0.229-0.229 9 設備投資 -.626** -.603** -.899** -.908** 0.333 0.358 10 機械受注 -0.277-0.303 -.739** -.765**.649**.634** 11 人件費 -0.087-0.16 -.669** -.726**.769**.722** 12 役員給与 0.061-0.054 -.529* -.638**.832**.782** 13 資本合計 -0.149-0.253 -.705** -.784**.749**.667** 14 実質 GDP 指数 -0.207-0.207 -.758** -.758**.695**.695** 15 鉱工業生産指数 -.487* -.487* -.883** -.883**.488*.488* 16 新設住宅着工件数 -.784** -.775** -.751** -.754** -0.346-0.327 17 一般政府支出 -0.041-0.11 -.621** -.680**.794**.753** 18 公的需要 0.001-0.051 -.592** -.636**.800**.776** 19 民間需要 -0.324-0.349 -.823** -.839**.634**.608** 20 実質家計消費支出 -0.171-0.221 -.732** -.765**.716**.674** 21 実質家計可処分所得 -0.246-0.284 -.781** -.804**.671**.634** 22 消費者物価指数 -0.126-0.126 -.696** -.696**.730**.730** 23 卸売物価指数 0.201 0.201.700**.700** -.575** -.575** 24 地価要因 -0.431 -.434* 0.027 0.019 -.746** -.747** 25 全国工業地指数 -0.41-0.41 -.831** -.831**.484*.484* 26 六大都市商業地地価指数 -.825** -.825** -.750** -.750** -0.238-0.238 27 株価 -.889** -.806** -.838** -.879** -0.299-0.121 28 完全失業率 0.361-0.361-0.134-0.134.753**.753** 29 有効求人倍率 -.845** -.845** -.582** -.582** -0.396-0.396 30マネーサプライ -0.253-0.318 -.769** -.817**.673**.613** 31 銀行の貸出 -.633** -.589** -.559** -.494* -0.345-0.379 32 公定歩合 -0.133-0.133.462*.462* -.697** -.697** 33 銀行貸出金利 -0.179-0.179 0.411 0.411 -.730** -.730** 34 実質コールレート -0.154-0.154 0.414 0.414 -.667** -.667** 35 10 年国債利回り -0.015-0.015.551**.551** -.704** -.704** 36 工業所有権登録数 0.098 0.087-0.356-0.389.522*.526* 37 新規企業数 -.781** -.663** -.463* -0.284 -.508* -.650** 38 研究開発費 -0.173-0.239 -.727** -.769**.727**.662** 1 0.5 1 35 9 0.5 4 1 1 26-0.494-56 -
No.28 2003 11 7 0.5 1 26 7 0.5 1.2.2 ( ) SPSS 35 F 3 ( ) ( ) 2 ( ) ( ) 6 6 ( ) 4 ( ) 2 ( ) ( ) 10 8 ( ) ( ) 3 0.5 2. SPSS TSP SPSS ( 2) TSP 2 AIC( ) SPSS TSP 2-57 -
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No.28 2003 11 3. ( ) ( ) R 2 0.879 DW=1.822 d U DW 2 ( ) 2 0.00002441 0.502 1 2 ( ) ( ) R 2 0.966 DW=2.583 6 4 d U DW 4 d L ( ) 6 6 0.476 6 0.005101 6 6 ( ) 0.589-59 -
6 6 ( ) R 2 0.976 DW=2.122 2 DW 4 d 4 0.0003038 (M2 CD) 0.000006923 M2+CD 0.00006831 0.00001547 4 ( ) R 2 0.908 DW=1.410 d DW d 2 1.020 0.768 2 DW L U U - 60 -
No.28 2003 11 ( ) ( ) R 2 0.988 DW=2.634 8 4 d U DW 4 d L ( ) 10 8 0.07008 0.0002017 0.05320 ( ) 10 8 ( ) ( ) R 2 0.963 DW=2.278 2 DW 4 d U ( ) 3 0.440 1.094 3.407 ( ) 3-61 -
4. ( ) 2 ( ) 10.437 0.00002441 0.502 4 1.678 0.0003038 0.000006923 0.00006831 0.00001547 3 ( ) 4.620 0.440 1.094 3.407 28) 0.44% 1 1.094 3.407 1% ( ) ( ) 3 ( ) ( ) 3 3 ( ) 1 1 2 1 0.783 0.477 0.115 2 3 2-62 -
No.28 2003 11 図 1 倒産件数 倒産率 負債総額の推移 ( 実質 ) 3.00 2.50 倒産件数 0.0001 倒産率 % 負債総額 ( 百万円 ) 0.0000001 2.49 2.00 1.50 1.00 0.50 2.08 1.92 1.88 1.79 1.76 1.71 1.75 1.23 1.17 1.21 1.28 1.11 1.13 1.03 0.42 0.47 0.42 0.35 0.33 0.29 0.30 1.90 1.88 1.65 1.41 1.46 1.51 1.54 1.48 1.41 1.41 1.38 1.39 1.27 1.07 1.01 0.92 0.83 0.82 0.71 0.72 0.65 0.61 0.63 0.61 0.67 0.76 0.74 0.76 0.68 0.59 0.61 0.55 0.62 0.48 0.56 0.37 0.31 0.23 0.22 0.21 0.13 0.00 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 年 ( ) ( ) 3 ( ) 2 4 ( ) 3 ( ) - 63 -
2002.3 25 2002.11 ( )38(2)1986.12 62(6)1987.9 22 1 2 1988.12 2003.pp.117-126 2002 2002.pp.272-273 ( 6) 1993.pp.239-242 ( 10).p68 ( 10).p76 ( 10).p108 ( 10).pp.65-66 ( 10).p269 ( 10).p51 ( 10).pp.153-155 ( 10).pp.147-150 ( 10).pp.133-135 ( 10).p136 [ ] FAQ(http://www.boj.or.jp/stat/stat_f.htm2003.9.12 ) ( 10).pp.204-206 ( 10).pp.221-223 pp.128-129 ( ) 1993.pp.70-74 ( 24)p138 F F F F-in F-out 2.0 2.5 F ( ( 24)pp.139-141) 1998.p243-64 -