Phase relations between climate variables are critical in order to ascertain the main mechanisms driving glaciation cycles. Proxy records from ice cores are commonly assumed to represent annual mean averages. These averages, however, may be biased toward a particular season due, for example, to a change in the distribution of precipitation. We demonstrate using a nine-box model of the climate system that the phase relation between atmospheric CO2 and temperature can be opposite during different seasons and, moreover, that the phase relation can change during different stages of the glacial cycle. Ice-core records may thus favor one phase relation during certain stages over another. Our model can explain the observed lag of several thousand years of atmospheric CO2 behind temperature upon entering a stadial, given reasonable assumptions about the precipitation-weighted temperature record at Vostok.