✦ LIBER ✦

On the informational role of treasury bill futures

✍ Scribed by Shantaram P. Hegde; Bill McDonald

Publisher: John Wiley and Sons
Year: 1986
Tongue: English
Weight: 854 KB
Volume: 6
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990060409

No coin nor oath required. For personal study only.

✦ Synopsis

I1 to 1983-111 both the future contract and the implied forward rate provide better forecasts of the future spot rate on a thirteen week T-bill than the Martingale forecast for up to four weeks prior to delivery of the futures contract. Further, the futures forecast outperforms the forward forecast up to three weeks from delivery, but between four to thirteen weeks prior to delivery the two forecasts are indistinguishable. Finally, we find no evidence to reject the null hypothesis that the nearterm futures rate reflects the information contained in the corresponding foward rate and vice versa.

'For an empirical test supporting Grossman's hypothesis see Brannen and Ulveling (1984).

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