The study of the term structure of interest rates is relatively new in the field of economics. It has become a sub-discipline since the 1960s. Many empirical researches are now devoted to it in central banks departments. Although John Maynard Keynes (1930, 1936) and Irving Fisher (1896, 1930) are known to have elaborated a first version of this theory, literature expressed little interest in the understanding of the context in which their theories has emerged. Fisher has not received much attention so far, while he is known to be the founder of the theory of the term structure of interest rates. Interestingly, he made this theory while the Federal Reserve System was inexistent in the United-States. Later, in the thirties, Keynes gave a more complete theory in which monetary authorities played a crucial role. This article analyses and gives a context of the first theories of the term structure of interest rates which emerged first in the United-States (1896) , and then in England (1930, 1936).