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Interest rate forecasts and market efficiency

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  • Adrian W. Throop

Abstract

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Suggested Citation

  • Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
  • Handle: RePEc:fip:fedfer:y:1981:i:spr:p:29-43
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    File URL: http://www.frbsf.org/publications/economics/review/1981/81-2_29-43.pdf
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    References listed on IDEAS

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    1. William Poole, 2001. "Expectations," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 1-10.
    2. Sargent, Thomas J, 1972. "Rational Expectations and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 4(1), pages 74-97, Part I Fe.
    3. Friedman, Benjamin M, 1979. "Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey," Journal of Finance, American Finance Association, vol. 34(4), pages 965-973, September.
    4. Reuben A. Kessel, 1965. "The Cyclical Behavior of the Term Structure of Interest Rates," NBER Books, National Bureau of Economic Research, Inc, number kess65-1.
    5. Shiller, Robert J, 1973. "Rational Expectations and the Term Structure of Interest Rates: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(3), pages 856-860, August.
    6. Joines, Douglas, 1977. "Short-Term Interest Rates as Predictors of Inflation: Comment," American Economic Review, American Economic Association, vol. 67(3), pages 476-477, June.
    7. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
    8. Carlson, John A, 1977. "Short-Term Interest Rates as Predictors of Inflation: Comment," American Economic Review, American Economic Association, vol. 67(3), pages 469-475, June.
    9. Fildes, Robert A & Fitzgerald, M Desmond, 1980. "Efficiency and Premiums in the Short-Term Money Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(4), pages 615-629, November.
    10. Richard W. Lang & Robert H. Rasche, 1978. "A comparison of yields on future contracts and implied forward rates," Review, Federal Reserve Bank of St. Louis, issue Dec, pages 21-30.
    11. Hamburger, Michael J & Platt, Elliott N, 1975. "The Expectations Hypothesis and the Efficiency of the Treasury Bill Market," The Review of Economics and Statistics, MIT Press, vol. 57(2), pages 190-199, May.
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    Cited by:

    1. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
    2. Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    3. R. W. Hafer & Scott E. Hein, 1989. "Comparing futures and survey forecasts of near-term Treasury bill rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 33-42.
    4. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.

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    Keywords

    Interest rates ; Forecasting ; Treasury bills;

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