R.W. Hafer and Scott E. Hein attempt to answer the question, "Does the Treasury bill futures rate provide a better forecast of future short-term interest rates than do survey forecasts?” The authors use survey forecasts of the 3-month Treasury bill rate gathered from the Bond and Money Market Letter. This survey polls about 40 to 50 financial market analysts asking for point forecasts for a variety of interest rates three and six months hence. These predictions are compared with the futures market forecasts, taken from futures contracts traded on the International Monetary Market of the Chicago Mercantile Exchange, of interest rates three months ahead and six months ahead. Based on forecasts from March 1977 through October 1987, Hafer and Hein find that, in general, the futures market forecasts are as good or better than the survey forecasts. They also test the proposition that the futures market efficiently utilizes all publicly available information by testing whether information in the survey forecast could improve upon the futures market forecast. Based on these tests, there is little evidence to suggest that the survey forecast or its revision improves upon the futures rate prediction. Thus, in contrast to previous research, the evidence in this article indicates that the futures rate provides a useful measure of the market’s expectation of future interest rates.