The present study tries to examine the behaviour of various Indian interest rates such as call money rate, and yields on secondary market securities with maturity periods of 15 to 91 days, 1-year, 5-years and 10-years. In the first stage, the study investigates the determinants of interest rates and finds that although the interest rates depend on some domestic marcoeconomic variables such as yield spread and expected exchange rate, they are mainly affected by the movements of international interest rates, although with some lags. The policy variables such as Bank Rate and Federal Funds Rate did not show any significant impact on any of the interest rates. Further, our results show that peaks in each interest rate are reached at different time points. Yield on 15 to 91 days t-bills is expected to peak sometime in the middle of 2006; one year yield is expected to peak in third quarter of 2006; yields on long term securities such as 5-year and 10-year bonds are expected to peak in fourth quarter of 2006. In sum, the study finds that there is a presence of cycles in the domestic interest rates in India, following international rates, and we have to learn to live with it. This trend may be same in most of the emerging market economies in Asia.