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Comparing futures and survey forecasts of near-term Treasury bill rates

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Author Info
R.W. Hafer
Scott E. Hein

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Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1989)
Issue (Month): May ()
Pages: 33-42
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Handle: RePEc:fip:fedlrv:y:1989:i:may:p:33-42

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Keywords: Treasury bills ; Futures ; Forecasting;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Nankervis, J. C. & Savin, N. E., 1985. "Testing the autoregressive parameter with the t statistic," Journal of Econometrics, Elsevier, vol. 27(2), pages 143-161, February. [Downloadable!] (restricted)
  2. William Poole, 1978. "Using T-bill futures to gauge interest rate expectations," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 7-19. [Downloadable!]
  3. Schmidt, P., 1988. "Dickey-Fuller Tests With Drift," Papers 8717, Michigan State - Econometrics and Economic Theory.
  4. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43. [Downloadable!]
  5. repec:fip:fedreq:y:1987:i:nov:p:3-9:n:v.73no.6 is not listed on IDEAS
  6. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  7. Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54. [Downloadable!]
  8. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July. [Downloadable!] (restricted)
  9. Michael T. Belongia, 1987. "Predicting interest rates: a comparison of professional and market- based forecasts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 9-15. [Downloadable!]
  10. Nordhaus, William D, 1987. "Forecasting Efficiency: Concepts and Applications," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 667-74, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Markus Spiwoks & Oliver Hein, 2007. "Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer, vol. 1(1), pages 43-52, June. [Downloadable!] (restricted)
  2. Manfredo, Mark R. & Sanders, Dwight R., 2004. "Forecast Encompassing And Futures Market Efficiency: The Case Of Milk Futures," 2004 Annual meeting, August 1-4, Denver, CO 20267, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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