RT Journal Article SR Electronic T1 Interbank Interest Rates and the Risk Premium JF The Journal of Fixed Income FD Institutional Investor Journals SP 75 OP 95 DO 10.3905/jfi.2000.319256 VO 9 IS 4 A1 Henri Pagès YR 2000 UL https://pm-research.com/content/9/4/75.abstract AB 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.