The Relation Between Default‐Free Interest Rates and Expected Economic Growth Is Stronger Than You Think
研究发现，期货隐含的国库券收益率差比现货利差更能预测未来的实际消费、投资和GNP增长，因为期货消除了现货期限结构中与经济增长负相关的风险溢价成分。
ABSTRACT The relation between default‐free interest rates and expected economic growth is substantially stronger than suggested by extant literature. Futures‐implied Treasury bill yield spreads are more highly correlated with future real consumption, investment, and GNP growth than spot spreads. This stronger relation arises because using futures removes a component of the spot term structure that covaries negatively with real economic growth. Treasury forward rates from spot bills contain a premium for the risk that short‐sellers will default. This risk premium is negatively related to expected economic growth.