Casio CZ/ VZ/ FZ - Pro Series

I have a Casio CZ1000 . I am using the midi out to a Mickokorg I want
to know if there is a way that I can use the octave up or down on the
CZ to change it on the Korg . I am running into a problem where
neither one affects the other . Such as if i hit octave up or down on
either synth it does not change the octave range on the casio . Any
help is welcome since I really dont want to go out and spend 130
dollars on an M Audio midi controller when the CZ1000 should be able
to accomplish this simple task