The Treasury-Bill Futures Market
构建并估计了1976年3月至1978年7月期间的风险溢价预期型国库券期货市场模型，发现期货利率显著偏离即期市场隐含的远期利率，且风险溢价与交割时间正相关、与利率水平负相关。
A model of the Treasury-bill futures market of the risk-premium augmented expectations variety is developed and estimated for the period March 1976 to July 1978. For that period we conclude that (1) futures interest rates deviate significantly from the corresponding forward rates implicit in the spot-market yield curve; (2) the hypothesis that expectations about the level of and trend in interest rates are formed adaptively from past spot rates fits the futures-market data significantly better than the hypothesis of perfect foresight; and (3) the risk-premium component of futures yields varies directly with time to delivery of the T-bills and negatively with the level of interest rates.