Restrictions on risk prices in dynamic term structure models can help link interest rate variations over time and across different rates. A new econometric framework was developed to estimate these models, showing that only level risk affects prices and changes in slope impact term premia. By incorporating these restrictions, the model found that interest rate persistence is higher than previously thought, leading to more variable expectations of future rates. This helps explain why short-rate expectations have been so stable. The model also suggests that the decline in long-term interest rates is mainly due to expectations rather than other factors.