Impact of Volatility on the Term Structure in Vasicek Model

In the context of the Vasicek model of interest rates, consider a market participant who is attempting to assess the impact of interest rate volatility on a particular fixed income portfolio. The Vasicek model is governed by the stochastic differential equation:

dR(t) = θ(μ - R(t))dt + σdW(t)

where R(t) is the short interest rate, θ is the speed of mean reversion, μ is the long-term mean interest rate, σ is the volatility, and W(t) is a Wiener process. The participant is particularly interested in how changes in the volatility parameter (σ) of the model influence the term structure of interest rates and the valuation of interest rate derivatives.

Given this model, which of the following statements regarding the dynamics of interest rates is correct?