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• W2149072016 abstract "This paper compares the informational content of the multiperiod forecasts of the three-month Treasury bill rates from the futures market and the ASA-NBER professional survey, using a univariate forecast as a benchmark. Based on the Fair and Shiller procedure, our findings indicate that, for all but one forecast horizon, the futures market data outperform both the univariate and professional survey forecasts. For the one- to three-quarter-ahead forecasting horizons, the futures market rates fully and efficiently utilize the information in the past history of the bill rate and, more interestingly, include information contained in the survey. For the fourquarter-ahead forecasts, both the futures and survey forecasts contain similar information and fail to be efficient. In general, our results may support the efficiency of the futures market." @default.
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• W2149072016 date "2000-12-01" @default.
• W2149072016 modified "2023-10-07" @default.
• W2149072016 title "On the information content of futures market and professional forecasts of interest rates" @default.
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• W2149072016 doi "https://doi.org/10.1080/096031000438024" @default.
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