Market and survey forecasts of the three-month treasury-bill rate

Article Abstract:

Predictions of three-month Treasury bills advanced for one quarter are examined for the period 1977-88. A futures rate forecast, implicit forward rate-derived forecast, survey-sourced prediction, and a no-change forecast are analyzed for accuracy and degree of bias in a 12-year period. The greatest bias and the most number of forecast errors are obtained from survey and forward rate forecasts. The futures market forecast shows statistical superiority over the other three predictions. This disparity in bias and accuracy of futures rate and forward rate forecasts point to the varying degrees of usefulness of market forecasts. Greater accuracy is also observed for predictions of interest rates made on the final day of business for a given quarter compared with predictions made on the day of futures contract delivery.

Prices and rates, Futures market, Futures markets, Financial markets, Stock price forecasting

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Forecasting inflation using interest-rate and time series models: some international evidence

Article Abstract:

Information from the US and five other nations was used in a study to test the hypothesis that inflation predictions inferred from short-term interest rates have the same level of accuracy as time-series forecasts. Specifically, the study examined the consumer price index and monthly Euro-rates for the period 1967-1986. Research results reveal that time-series predictions of inflation have lower or equal prediction errors and provide unbiased forecasts more frequently than do interest rate-based predictions.

Analysis, Inflation (Finance), Interest rates, Consumer price indexes, Time-series analysis, Time series analysis, Inflation (Economics)

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An empirical evaluation of treasury-bill futures market efficiency: evidencefrom forecast efficiency tests

Article Abstract:

A study was conducted to evaluate market efficiency based on alternative tests of weak-form futures market efficiency. The study extends earlier research studies and considers methods rooted on forecast efficiency and rational expectations. The study applies Treasury-bill futures markets as asample. Results show that Treasury-bill futures markets are not as inefficient as previous research has shown.

Securities, Efficient market theory

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