Abstract
This paper proposes the consensus value of the experts' expectations to predict the future three-month Treasury bill rate. Applying quarterly data, 1981 :Q3–1989:Q4, to three- and six-month Treasury bill markets indicates that one cannot reject the unbiasedness hypothesis. Empirical analysis indicates that experts use information from the slope of the yield curve, changes in the recent three-month bill rate, and a time-varying risk premium to predict the change in the future three-month bill rate. This study documents the consensus of experts' expectations as an optimal predictor of the future three-month bill rate.
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