Relationship between Consumer Price Index (CPI) and Government Bonds

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.