Articlegold1978

A Comparison of Yields On Future Contracts and Implied Forward Rates

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Stochastic processes and financial applications

Abstract

Since the introduction of futures trading in 3-month Treasury bills in 1976, yields on these futures contracts have been examined for clues as to market expectations of the future course of interest rates. Although there are difficulties in isolating these expectations, the yields on futures contracts do embody information about market expectations of future interest rates. However, similar information is also embodied in the forward rates of interest that are implicit in the spot market yield curve.

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1984Cash‐and‐carry trading and the pricing of treasury bill futures 1991Do treasury bill futures rates satisfy rational expectation properties?1982Are there arbitrage opportunities in the treasury‐bond futures market?1981Interest rate forecasts and market efficiency 1982Economic considerations in the use of interest rate futures

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