This article provides an overview of recent developments in term structure modeling and its uses by central banks. The topic is important to central banks and policymakers, who are often interested in extracting economic information from long-term interest rates, and elaborating policies to influence them. I review some of the term structure models that allow for time-varying risk premia and that have served as the workhorse models in the analysis of the term structure of interest rates by central banks. These models have been used to measure policy rate expectations, to study the interest rate transmission mechanisms of unconventional monetary policies, to estimate inflation and liquidity risk premia in real government bond markets and to obtain useful policy indicators in an interest rate lower bound environment, such as the shadow rate.