The second result underlines the interest of a two-factor model rather than a one factor model to represent the stochastic dynamics of interest rates. For example, Balduzzi, Das and Foresi (1998) show the presence of a stochastic central tendency in the dynamics of the short and long term interest rates which explains that the level of the short rate is not the only relevant variable to describe its conditional mean. For the United States between 1951 and 2001, King and Kurmann (2002) demonstrate the impact of this permanent component (stochastic trend) on the long-term interest rate dynamics. On the contrary, the spread depends more on the di§erence between.
