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Relationship between Consumer Price Index (CPI) and Government Bonds

Author

Listed:
  • Subhani, Muhammad Imtiaz
  • Osman, Ms. Amber
Abstract
This study examines the association between the daily investments in government bonds with Consumer price index (CPI) for Pakistani space for the period beginning from July 2001 to September 2009. The findings significantly supports the proposition that consumer price index (CPI) has an association with the investments in government bonds and also the non-seasonal investments in government bonds for lag 1 also effects the investment in government bonds for the current period.

Suggested Citation

  • Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2012. "Relationship between Consumer Price Index (CPI) and Government Bonds," MPRA Paper 40385, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:40385
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    References listed on IDEAS

    as
    1. Smirlock, Michael, 1986. "Inflation Announcements and Financial Market Reaction: Evidence from the Long-term Bond Market," The Review of Economics and Statistics, MIT Press, vol. 68(2), pages 329-333, May.
    2. Moon K. Kim & Ravi Shukla, 2006. "Inflation and bond-stock characteristics of international security returns," International Journal of Managerial Finance, Emerald Group Publishing, vol. 2(3), pages 241-251, September.
    3. Michael Smirlock, 1986. "Inflation announcements and financial market reaction: evidence from the long-term bond market," Working Papers 86-6, Federal Reserve Bank of Philadelphia.
    4. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    5. Ilmanen, Antti, 1995. "Time-Varying Expected Returns in International Bond Markets," Journal of Finance, American Finance Association, vol. 50(2), pages 481-506, June.
    6. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    7. Dennis W. Carlton, 1983. "Futures Trading, Market Interrelationships, and Industry Structure," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 65(2), pages 380-387.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Nyoni, Thabani, 2019. "ARIMA modeling and forecasting of Consumer Price Index (CPI) in Germany," MPRA Paper 92442, University Library of Munich, Germany.
    2. Nyoni, Thabani, 2019. "Forecasting consumer price index in Norway: An application of Box-Jenkins ARIMA models," MPRA Paper 92411, University Library of Munich, Germany.
    3. Nyoni, Thabani, 2019. "Modeling and forecasting CPI in Myanmar: An application of ARIMA models," MPRA Paper 92420, University Library of Munich, Germany.
    4. Nyoni, Thabani, 2019. "Predicting CPI in Singapore: An application of the Box-Jenkins methodology," MPRA Paper 92413, University Library of Munich, Germany.
    5. Nyoni, Thabani, 2019. "Time series modeling and forecasting of the consumer price index in Belgium," MPRA Paper 92414, University Library of Munich, Germany.
    6. Nyoni, Thabani, 2019. "Predicting CPI in France," MPRA Paper 92416, University Library of Munich, Germany.
    7. Nyoni, Thabani, 2019. "Analyzing CPI dynamics in Italy," MPRA Paper 92421, University Library of Munich, Germany.
    8. Nyoni, Thabani, 2019. "Forecasting UK consumer price index using Box-Jenkins ARIMA models," MPRA Paper 92410, University Library of Munich, Germany.
    9. Nyoni, Thabani, 2019. "Predicting consumer price index in Saudi Arabia," MPRA Paper 92422, University Library of Munich, Germany.
    10. Nyoni, Thabani, 2019. "Modeling and forecasting CPI in Iran: A univariate analysis," MPRA Paper 92454, University Library of Munich, Germany.
    11. Nyoni, Thabani, 2019. "Predicting CPI in Panama," MPRA Paper 92419, University Library of Munich, Germany.
    12. Nyoni, Thabani, 2019. "Time series modeling and forecasting of the consumer price index in Japan," MPRA Paper 92409, University Library of Munich, Germany.
    13. Nyoni, Thabani, 2019. "Forecasting Australian CPI using ARIMA models," MPRA Paper 92412, University Library of Munich, Germany.
    14. Nyoni, Thabani, 2019. "Modeling and forecasting CPI in Mauritius," MPRA Paper 92423, University Library of Munich, Germany.
    15. Nyoni, Thabani, 2019. "Understanding CPI dynamics in Canada," MPRA Paper 92415, University Library of Munich, Germany.
    16. Nyoni, Thabani, 2019. "Forecasting CPI in Sweden," MPRA Paper 92418, University Library of Munich, Germany.

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    More about this item

    Keywords

    Consumer price index (CPI); Government bonds; VAR;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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