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Relationship between Consumer Price Index (CPI) and Government Bonds

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  • 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
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    References listed on IDEAS

    as
    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. Ilmanen, Antti, 1995. " Time-Varying Expected Returns in International Bond Markets," Journal of Finance, American Finance Association, vol. 50(2), pages 481-506, June.
    3. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
    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.
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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 Mauritius," MPRA Paper 92423, University Library of Munich, Germany.
    4. Nyoni, Thabani, 2019. "Predicting CPI in France," MPRA Paper 92416, University Library of Munich, Germany.
    5. Nyoni, Thabani, 2019. "Modeling and forecasting CPI in Iran: A univariate analysis," MPRA Paper 92454, University Library of Munich, Germany.
    6. Nyoni, Thabani, 2019. "Predicting CPI in Panama," MPRA Paper 92419, University Library of Munich, Germany.
    7. Nyoni, Thabani, 2019. "Modeling and forecasting CPI in Myanmar: An application of ARIMA models," MPRA Paper 92420, University Library of Munich, Germany.
    8. Nyoni, Thabani, 2019. "Understanding CPI dynamics in Canada," MPRA Paper 92415, University Library of Munich, Germany.
    9. Nyoni, Thabani, 2019. "Predicting CPI in Singapore: An application of the Box-Jenkins methodology," MPRA Paper 92413, University Library of Munich, Germany.
    10. Nyoni, Thabani, 2019. "Analyzing CPI dynamics in Italy," MPRA Paper 92421, University Library of Munich, Germany.
    11. Nyoni, Thabani, 2019. "Time series modeling and forecasting of the consumer price index in Japan," MPRA Paper 92409, University Library of Munich, Germany.
    12. Nyoni, Thabani, 2019. "Forecasting CPI in Sweden," MPRA Paper 92418, University Library of Munich, Germany.
    13. Nyoni, Thabani, 2019. "Forecasting UK consumer price index using Box-Jenkins ARIMA models," MPRA Paper 92410, University Library of Munich, Germany.
    14. Nyoni, Thabani, 2019. "Time series modeling and forecasting of the consumer price index in Belgium," MPRA Paper 92414, University Library of Munich, Germany.
    15. Nyoni, Thabani, 2019. "Forecasting Australian CPI using ARIMA models," MPRA Paper 92412, University Library of Munich, Germany.
    16. Nyoni, Thabani, 2019. "Predicting consumer price index in Saudi Arabia," MPRA Paper 92422, University Library of Munich, Germany.

    More about this item

    Keywords

    price index (CPI); Government bonds; ARIMA;

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics

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