In this paper, we estimate and compare a variety of continuous-time models of the short-term riskless rate at a monthly frequency covering the period from 1989 to 1995. All of the models are nested within a simple framework that allows us to compare them directly to each other. We find that one of the most successful models in capturing the dynamics of the short-term interest rate is the one-factor version of the Cox, Ingersoll and Ross model. Moreover, there is evidence of a structural shift in the interest process in April 1993.

Key words: term structure of interest rates, structural shift, dynamics of the interest rate, stochastic process.
JEL classification: E43.