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Relationship between Consumer Price Index (CPI) and Government Bonds

Listed author(s):
  • Subhani, Muhammad Imtiaz
  • Osman, Ms. Amber

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.

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File URL: https://mpra.ub.uni-muenchen.de/40385/1/MPRA_paper_40385.pdf
File Function: original version
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 40385.

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Length:
Date of creation: 2012
Publication status: Published in South Asian Journal of Management Sciences (SAJMS) 1.3(2012): pp. 11-14
Handle: RePEc:pra:mprapa:40385
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Web page: https://mpra.ub.uni-muenchen.de

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References listed on IDEAS
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  1. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
  2. 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.
  3. 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.
  4. Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
  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. repec:eme:ijmfpp:v:2:y:2006:i:3:p:241-251 is not listed on IDEAS
  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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