Home / Regular Issue / JTAS Vol. 10 (3) Dec. 1987 / PERT-0445-1987
An Empirical Study of the Treasury Bill Market in Malaysia: Part 1 — Using Treasury Bills as a Predictor of Inflation
Annuar Md. Nasir, Shamsher Mohamad and Zainal Abidin Mohamed
Pertanika Journal of Tropical Agricultural Science, Volume 10, Issue 3, December 1987
Keywords: Treasury bill; efficient market; interest rates; expected inflation; nominal return; real return.
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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.
ISSN 1511-3701
e-ISSN 2231-8542
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