This paper analyses the term premia in the Spanish public debt market over the period January 1991 to December 1995. The purpose is to determine the hypothesis that explains the relationship between short-term and long-term interest rates in that market. We obtain empirical evidence of time varying term premia, on the basis of which we can conclude that the forward rates are not an unbiased predictor of future spot rates and the difference between them depend on the maturity and horizon.

Keywords: term structure of interest rates, GARCH, term premia, expectations, bias.
JEL classification: G3