MARKET AND SURVEY FORECASTS OF THE 3-MONTH TREASURY-BILL RATE

In this article, four readily available 1-quarter-ahead forecasts of the 3-month U.S. Treasury-bill rate are compared. The forecasts considered are (1) a prediction from the futures market, (2) a forecast derived from an implicit forward rate calculation, (3) a survey-gathered forecast, and (4) a no-change forecast. Each forecast is examined for general forecast accuracy and for the extent of bias contained in each forecast over the 12-year period 1977-88. Results indicate that the futures rate statistically dominates the other three forecasts, while the survey and forward rate projections generally are found to be the least accurate and most biased.