%0 Journal Article %A Henri Pagès %T Interbank Interest Rates and the Risk Premium %D 2000 %R 10.3905/jfi.2000.319256 %J The Journal of Fixed Income %P 75-95 %V 9 %N 4 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/9/4/75.full.pdf