Spot and forward rates in the Canadian treasury bill market

The efficiency of the Canadian Treasury bill market is examined with data on spot and forward rates of return. Over the period from 7/62 to 3/79, the bill market has been efficient in the sense that it correctly uses the information contained in past spot rates in assessing the expected future spot rate and in determining the forward rate. Moreover, the forward rate is found to contain some information about future spot rates above and beyond that in past spot rates.