Journal of Financial Economics Vol. 3 No. 4 1976
Forward rates as predictors of future spot rates
Abstract
When adjusted for variation through time in expected premiums, the forward rates of interest that are implicit in Treasury Bill prices contain assessments of expected future spot rates of interest that are about as good as those that can be obtained from the information in past spot rates. Moreover, in setting bill prices and forward rates, the market reacts appropriately to the negative autocorrelation in monthly changes in the spot rate and to changes through time in the degree of this autocorrelation. This evidence is consistent with the market efficiency proposition that in setting bill prices, the market correctly uses the information in past spot rates.
- DOI
- 10.1016/0304-405x(76)90027-1
- Volume
- 3
- Issue
- 4
- Pages
- 361-377
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref