文章基本信息

标题：An Empirical Study of the Treasury Bill Market in Malaysia: Part 1 — Using Treasury Bills as a Predictor of Inflation
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作者：Annuar Md. Nasir ; Shamsher Mohamad ; Zainal Abidin Mohamed 等
期刊名称：Pertanika Journal of Social Sciences & Humanities
印刷版ISSN：0128-7702
电子版ISSN：2231-8534
出版年度：1987
卷号：10
期号：3
出版社：Universiti Putra Malaysia
摘要：The main objective of this study is to test Fama s theory of short term interest rates as predictors of inflation. The study found that, using 3 months treasury bill discount rates to approximate monthly nominal return, the Malaysian 91-days treasury bill market was not efficient. We found that there is no basis to use short term interest as proxy for expected inflation.
关键词：Treasury bill; efficient market; interest rates; expected inflation; nominal return; real return