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

  • 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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  1. Schmidt, P., 1988. "Dickey-Fuller Tests With Drift," Papers 8717, Michigan State - Econometrics and Economic Theory.
  2. Daniel L. Thornton, 1988. "The borrowed-reserves operating procedures: theory and evidence," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 30-54.
  3. Nordhaus, William D, 1987. "Forecasting Efficiency: Concepts and Applications," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 667-74, November.
  4. 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.
  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. 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.
  7. 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, 04.
  8. 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.
  9. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
  10. 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.
  11. 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.
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