The Fisher equation for interest rates was studied using the Kalman filter to analyze the impact of risk premium on long-term interest rates. The study found that risk premium causes differences between expected and forward interest rates. In financial markets, credible monetary policies lead to rational expectations and low interest rate volatility, while non-credible policies result in adaptive expectations and high volatility. Comparing Italian and German interest rates showed that different monetary policies affect expectations and interest rate volatility. Low volatility is linked to low risk premium, while high volatility is associated with higher risk premium and adaptive expectations.