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Abstract

This thesis examines the following questions about the behaviour of the US Treasury bill market, and published forecasts of US Treasury bill yields:

- Are expert forecasts of Treasury bill yields, as revealed in survey data, more accurate than simple alternatives?

- Can they be used to make money by trading Treasury bill futures, and does this imply that the futures market is inefficient?

- Is there information in the survey data relevant to predicting the volatility of Treasury bill yields?

- How does this compare to more conventional volatility forecasts, such as those from the implied volatility in three months treasury bills futures-options; historical volatility, and time-series based volatility forecasts based on the popular GARCH (1,1) model

- Can these forecasts be used to make money by trading options on Treasury bill futures?

Publication Type:	Thesis (Doctoral)
Subjects:	H Social Sciences > HJ Public Finance
Departments:	Bayes Business School Bayes Business School > Bayes Business School Doctoral Theses Doctoral Theses

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