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Relationship between Consumer Price Index (CPI) and Government Bonds


  • Muhammad Imtiaz Subhani
  • Kiran Panjwani
  • Amber Osman

    () (Iqra University
    Iqra University
    Iqra University)


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 nonseasonal investments in government bonds for lag 1 also effects the investment in government bonds for the current period.

Suggested Citation

  • Muhammad Imtiaz Subhani & Kiran Panjwani & Amber Osman, 2009. "Relationship between Consumer Price Index (CPI) and Government Bonds," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 3(1), pages 11-14, Spring.
  • Handle: RePEc:ajm:journl:v:3:y:2009:i:1:p:11-14

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    References listed on IDEAS

    1. 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.
    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. Ilmanen, Antti, 1995. " Time-Varying Expected Returns in International Bond Markets," Journal of Finance, American Finance Association, vol. 50(2), pages 481-506, June.
    4. 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.
    5. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    6. 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.
    7. 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.
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    More about this item


    Consumer price index (CPI); Government bonds; VAR;

    JEL classification:

    • F16 - International Economics - - Trade - - - Trade and Labor Market Interactions
    • F18 - International Economics - - Trade - - - Trade and Environment


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