Since the introduction of futures trading in 3-month Treasury bills in 1976, yields on these futures contracts have been examined for clues as to market expectations of the future course of interest rates. Although there are difficulties in isolating these expectations, the yields on futures contracts do embody information about market expectations of future interest rates. However, similar information is also embodied in the forward rates of interest that are implicit in the spot market yield curve.
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Lang et al. (1978) studied this question.