The article examines how market expectations for future interest rates affect the shape of the yield curve. It finds that forward rates only partly predict future rates, with the predictability varying by maturity. Term premiums, which include risk and convexity premiums, play a significant role in shaping the yield curve. On average, term premiums have a greater impact on the curve than expected rate changes. Factors like interest rate volatility and the slope of the yield curve can give clues about the size of term premiums.