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On the information content of futures market and professional forecasts of interest rates

Author

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  • Hamid Baghestani
  • Woo Jung
  • Daniel Zuchegno

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.

Suggested Citation

  • Hamid Baghestani & Woo Jung & Daniel Zuchegno, 2000. "On the information content of futures market and professional forecasts of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 679-684.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:6:p:679-684
    DOI: 10.1080/096031000438024
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    Cited by:

    1. Hamid Baghestani, 2006. "An evaluation of the professional forecasts of U.S. long‐term interest rates," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 177-191.
    2. Baghestani, Hamid, 2006. "An evaluation of the professional forecasts of U.S. long-term interest rates," Review of Financial Economics, Elsevier, vol. 15(2), pages 177-191.
    3. Hamid Baghestani, 2022. "Mortgage rate predictability and consumer home-buying assessments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 593-603, July.
    4. Reid Dorsey-Palmateer & Gary Smith, 2007. "Shrunken interest rate forecasts are better forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 425-430.

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