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For example,unlike the forward exchange rate, which seems primarily to reflect variationin its premium component, the difference between the forward one monthinterest rate for one month ahead and the current one month spot interest rate,Ft- R t, splits approximately equally between variation in its premium component and variation in the projected change in the one month spot interest rate.Furthermore, in the interest rate data, F t -Rl sometimes had a larger variancethan the ex post change in the one month spot interest rate.Perhaps as a consequence, the ex ante Ft - Rlexplicates from 15 to 70 percentof the variance of the ex post change in the spot interest rate. All of this is in prominent contrast to the feeble and somewhat baffling picture that arose from the exchange rate data, where variation in the ex ante forwardspot differential, F t - St, kept beingsomewhat relative to the variation of the ex postchange in the spot rate, St+ t - Sr.ReferencesBilson, John F.O., 1981, The spectdative efficiency hypothesis, Journal of Business 54. July, 435-451.Breeden, Douglas T., 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities; Journal of Financial Economics 7, Sept., 265-296.Domowitz, Ian and Craig S. Hakkio, 1983, Conditional variance and the risk premium on the foreign exchange market, Marw.script, Sept.Fama, Eugene F., 1982, Inflation, output and money, Journal of Business 55. April.Fama, Eugene F., 1984, The information in the term structure. Journal of Financial Economics 13 (forthcoming).Fama, Eugene F. and Andre Farber, 1979, Money, bonds, and foreign exchange. American Economics Review 69, Sept., 269-282.Fama, Eugene F. and Michael R. Gibbons, 1982, Inflation, real returns, and capital investment, journal of Monetary Economics 9, May, 297-327.Frankel, Jeffrey A., 1982, IL search of the exchange risk premium: A six currency test assuming mean variance optimization, Journal of International Money and Finance 1. Dec., 255-274.J.A. Frenkel, ed., Exchange rates and international economics (University of Chicago Press for the National Bureau of Economic Research, Chicago,. IL).Hansen, Lava P. and Robert J. Hodrick, 1980, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, Oct. 829-853.Hansen, Lars P. and Nobert J. Hodrick, 1983, Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models, in: J.A. Frenkel, ed., Exchange rates and international econ¢~mics (University of Chicago Press for the National Bureau of Economic Research, Chicago,. IL).Hansen, Lava P. and Robert J. Hodrick, 1980, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy 88, Oct. 829-853.Hodrick, Robert J, and $anjay Srivastava, 1984, An investigation of risk and return in forward foreign exchange, Journal of International Money and Finance 3, 5-29.Levich, David A. 1982, Tests of rational expectation and no risk premium in forward exchange rate, National Bureau of Economic Research working paper #. 843, JanKoraghzyk, Robert A., 1983. The pricing of forward and futures contracts for foreign exchange, M,D, thesis. May (Graduate School of Business, University of Chicago, Chicago, IL),Levich, Richard M., 1979, On the efficiency of markets for foreign exchange, in: R, Dornbusch and eds., International economic policy: Theory and evidence, Ch. Johns Hopkins University BaltimoreLininer. John. 1965, The valuation of risk assets and the selection of risky investments in stock folios and capital budgets, Review of Economics and Statistics 47, Feb,, 13-27.Lucas, Robert E,, Jr.. 1982, Interest rates and currency prices in a two count~ world, Journal of Monetary Economics 10. Nov: 35-359.Murdell. Robert 1963. Inflation and real interest, Journal of Political Economy 71, June, 280-283.Stockman, Alan C. 1980. A theory of exchange rate determination, Journal of Political EconomyZellner, Arnold, 1962, An efficient method for estimating seemingly unrelated regressions and tests for aggregation bias, Journal of the American Statistical Association 57, June, 348-368.