ly, the focus of research has shifted to two questions: the efficiency with which the market for short-term securities (usually Treasury Bills) utilizes information contained in past rates of inflation, and the ability of rates on Bills to predict future price changes 11, 4, 5, 10, 121. The purpose of this paper is to explore another question of the association between inflation and nominal yields: do yields on short-term securities respond to the monthly announcements of the Consumer Price Index and the Producer Price Index'? Examina-