✦ LIBER ✦
Do treasury bill futures rates satisfy rational expectation properties?
✍ Scribed by C. Steven Cole; Michael Impson; William Reichenstein
- Publisher
- John Wiley and Sons
- Year
- 1991
- Tongue
- English
- Weight
- 672 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
One-quarter-ahead March 1976 spot rate on 3-month T-bill. Two-quarters-ahead March 1976 spot rate on 3-month T-bill. Three-quarters-ahead March 1976 spot rate on 3-month T-bill. Four-quarters-ahead March 1976 mot rate on 3-month T-bill.
'The rationality of three-quarters-ahead futures forecasts is rejected in the post-1981 period, which implies that the lack of rationality is not due to the change in tax structure for futures contracts.