Efficiency and Premiums in the Short-Term Money Market
分析短期货币市场中隐含远期利率与实际即期利率的差异，检验市场效率，对金融经济学和货币政策研究者有参考价值。
THE QUESTION OF THE STRICT EFFICIENCY of the treasury bill market and markets in other fixed interest financial instruments remains in dispute. Roll [17] provided the first test of market efficiency. More recently Fama [5], taking a different approach, added his support to Roll's findings of a market conforming closely to the efficient market model. Related contemporaneous work by Fama tested efficiency indirectly through the implicit estimate of inflation derivable from term structure relationships [3, 4, 6]. It is this work that has been attacked by Nelson and Schwert [13], Carlson, [2], and Joines [10], who have argued that Fama's approach, when suitably corrected, does not support market efficiency as Fama has defined it. In this paper we will consider only short-term interest rates, determined in a market not previously examined by earlier authors, where sums are lent and borrowed for periods of one or two days. The main thrust of the paper is the analysis of the differences between implicit forward rates and future realized spot rates. The problem we attempt to resolve is whether forward rates can be used to predict future spot values, and the implications this has for market efficiency. If it should prove possible to construct forecasts of the future spot rate more accurate than those implicit in the term structure relationships, then such a finding would undermine the view that fixed interest markets are efficient. To carry out this test, as earlier authors have shown, it is necessary to develop models of how expectations are