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On the optimality of Treasury Bill auctions

✍ Scribed by Flavio M. Menezes


Book ID
116102151
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
400 KB
Volume
49
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


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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