Subhani, Muhammad Imtiaz (2009): Relationship between Consumer Price Index (CPI) and Government Bonds. Published in: South Asian Journal of Management Sciences , Vol. 3, No. 1 (2009): pp. 11-17.
Download (70kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Relationship between Consumer Price Index (CPI) and Government Bonds|
|English Title:||Relationship between Consumer Price Index (CPI) and Government Bonds|
|Keywords:||price index (CPI), Government bonds, ARIMA|
|Subjects:||A - General Economics and Teaching > A1 - General Economics|
|Depositing User:||Muhammad Imtiaz Subhani|
|Date Deposited:||25 Jan 2012 15:52|
|Last Modified:||17 Oct 2016 14:17|
Campbell, J.Y. & Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, 48, 3-37.
Carlton, D.W. (1983). Futures trading, market interrelationships, and industry structure. American Journal of Agricultural Economics, 65, 380-387.
Cochrane, J. H. & Piazzesi, M. (2005). Bond Risk Premia. The American Economic Review, 95, 138-160.
Ilmanen, A. (1995). Time Varying Expected Returns in International Bond Markets. Journal of Finance, 50, 481-506.
Kim, M. K. & Shukla, R. (2006). Inflation and bond-stock characteristics of international security returns. International Journal of Managerial Finance, 2 (3), 241 – 251.
Smirlock, M. (1986). Inflation Announcements and Financial Market Reaction: Evidence from the Long-Term Bond Market. The Review of Economics and Statistics, 68, 329-333.