IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/36161.html
   My bibliography  Save this paper

Relationship between Consumer Price Index (CPI) and Government Bonds

Author

Listed:
  • Subhani, Muhammad Imtiaz

Abstract

This study examined monthly government bonds response to announcements about Consumer price index (CPI) beginning from July 2001 to September 2009.The findings significantly supported that the consumer price index (CPI) causes the government bonds and also the non-seasonal lags (AR1) of government bonds cause the government bonds. The data used for the research was secondary and taken from the internet and also from State bank of Pakistan. The consumer price index was an independent variable and government bonds a dependent variable. In this research auto-regressive, integrated, moving-average (ARIMA) models for time series data was used. A time series was a set of observations ordered according to the time that were observed.

Suggested Citation

  • Subhani, Muhammad Imtiaz, 2009. "Relationship between Consumer Price Index (CPI) and Government Bonds," MPRA Paper 36161, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:36161
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/36161/1/MPRA_paper_36161.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ilmanen, Antti, 1995. "Time-Varying Expected Returns in International Bond Markets," Journal of Finance, American Finance Association, vol. 50(2), pages 481-506, June.
    2. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    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

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Subhani, Muhammad Imtiaz & Osman, Amber & Gul, Ameet, 2010. "Relationship between consumer price index (CPI) and KSE-100 index trading volume in pakistan and finding the endogeneity in the involved data," MPRA Paper 26375, University Library of Munich, Germany, revised 02 Nov 2010.
    3. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    4. Entrop, Oliver & Memmel, Christoph & Ruprecht, Benedikt & Wilkens, Marco, 2015. "Determinants of bank interest margins: Impact of maturity transformation," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 1-19.
    5. Subhani, Muhammad Imtiaz & Osman, Ms. Amber, 2011. "Stock Market Reactions due to Announcements of Consumer Price Index and the Investigation of Endogeneity," MPRA Paper 34725, University Library of Munich, Germany.
    6. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    7. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
    8. Suk-Joong Kim & Fari Moshirian & Eliza Wu, 2018. "Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 12, pages 391-428, World Scientific Publishing Co. Pte. Ltd..
    9. Michael Joyce & Vicky Read, 2002. "Asset price reactions to RPI announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 253-270.
    10. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    11. Charlotte Christiansen, 2010. "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
    12. Clostermann, Jörg & Seitz, Franz, 2005. "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers 11, Technische Hochschule Ingolstadt (THI).
    13. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    14. Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
    15. Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
    16. Engsted, Tom & Tanggaard, Carsten, 2007. "The comovement of US and German bond markets," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 172-182.
    17. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    18. Pacheco, André Sanchez, 2023. "Inflation surprises across developed and emerging economies," Textos para discussão 566, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    19. Richard Podpiera, 2000. "Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases," CERGE-EI Working Papers wp156, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    20. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.

    More about this item

    Keywords

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

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:36161. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.