This paper tests the fair‐game efficient‐markets hypothesis for the natural gas futures prices over the period 1990 through 2003. We find evidence consistent with the Keynesian notion of normal backwardation. Regressing the future spot prices on the lagged futures prices and using the...

Linear dynamic stochastic processes are derived for the ex ante real interest rates from those followed by the ex post real rates under the identifying assumption of rational expectations. The technique is used to study instantaneous and lagged effects of U.S. ex ante real rates on a number of...