TY - JOUR T1 - Interbank Interest Rates and the Risk Premium JF - The Journal of Fixed Income SP - 75 LP - 95 DO - 10.3905/jfi.2000.319256 VL - 9 IS - 4 AU - Henri Pagès Y1 - 2000/03/31 UR - https://pm-research.com/content/9/4/75.abstract N2 - The article presents a one-factor affine model of the term structure of LIBOR with autocorrelated measurement errors. It can be viewed as a central tendency model; the theoretical arbitrage-free rates serve as stochastic means to which the observed rates revert. Two estimation techniques are compared, one based on a no measurement error assumption, the other on Kalman filtering. The estimates are then used in standard yield spread regressions with a view to accounting for the departure of future short rates from what the expectations hypothesis would predict. ER -