Comparing Futures and Survey Forecasts of Near-Term Treasury Bill Rates

Rik W. Hafer · Scott E. Hein

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

R.W. Hafer and Scott E. Hein attempt to answer the question, "Does the Treasury bill futures rate provide a better forecast of future short-term interest rates than do survey forecasts?” The authors use survey forecasts of the 3-month Treasury bill rate gathered from the Bond and Money Market Letter.

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1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1984Forward and spot exchange rates 1984The information in the term structure 1980Advertising and Aggregate Consumption: An Analysis of Causality 1987Forecasting Efficiency: Concepts and Applications 1980Survey evidence on the ‘rationality’ of interest rate expectations

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