IDEAS home Printed from https://ideas.repec.org/a/fip/fedlrv/y1989imayp33-42.html
   My bibliography  Save this article

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

Author

Listed:
  • R. W. Hafer
  • Scott E. Hein

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
  • Handle: RePEc:fip:fedlrv:y:1989:i:may:p:33-42
    as

    Download full text from publisher

    File URL: https://files.stlouisfed.org/files/htdocs/publications/review/89/05/Futures_May_Jun1989.pdf
    Download Restriction: no

    File URL: https://fraser.stlouisfed.org/scribd/?toc_id=499903&filepath=/docs/publications/frbslreview/rev_stls_198905.pdf&start_page=34#scribd-open
    Download Restriction: no

    References listed on IDEAS

    as
    1. Schmidt, P., 1988. "Dickey-Fuller Tests With Drift," Papers 8717, Michigan State - Econometrics and Economic Theory.
    2. S. Scott MacDonal & Richard L. Peterson & Timothy W. Koch, 1988. "Using futures to improve treasury bill portfolio performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(2), pages 167-184, April.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.
    5. 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.
    6. 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.
    7. Michael T. Belongia & G. J. Santoni, 1987. "Interest Rate Risk, Market Value, And Hedging Financial Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 47-55, March.
    8. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
    9. Roy H. Webb, 1987. "The irrelevance of tests for bias in series of macroeconomic forecasts," Economic Review, Federal Reserve Bank of Richmond, issue Nov, pages 3-9.
    10. Nordhaus, William D, 1987. "Forecasting Efficiency: Concepts and Applications," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 667-674, November.
    11. 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.
    12. Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
    2. Richard Deaves, 1996. "Forecasting Canadian Short-Term Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 615-634, August.
    3. 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).
    4. Markus Spiwoks & Oliver Hein, 2007. "Die Währungs-, Anleihen- und Aktienmarktprognosen des Zentrums für Europäische Wirtschaftsforschung," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 1(1), pages 43-52, June.
    5. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
    6. Greer, Mark, 2003. "Directional accuracy tests of long-term interest rate forecasts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 291-298.
    7. repec:eee:intfin:v:48:y:2017:i:c:p:192-205 is not listed on IDEAS
    8. Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October.
    9. Sanders, Dwight R. & Manfredo, Mark R., 2004. "Predicting Pork Supplies: An Application of Multiple Forecast Encompassing," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(03), December.

    More about this item

    Keywords

    Treasury bills ; Futures ; Forecasting;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedlrv:y:1989:i:may:p:33-42. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kathy Cosgrove). General contact details of provider: http://edirc.repec.org/data/frbslus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.