In recent years, neural networks have been used to generate symbolic melodies. However, the long-term structure in the melody has posed great difficulty to design a good model. In this article, we present a hierarchical recurrent neural network (HRNN) for melody generation, which consists of three long-short-term-memory (LSTM) subnetworks working in a coarse-to-fine manner along time. Specifically, the three subnetworks generate bar profiles, beat profiles, and notes, in turn, and the output of the high-level subnetworks are fed into the low-level subnetworks, serving as guidance to generate the finer time-scale melody components in the low-level subnetworks. Two human behavior experiments demonstrate the advantage of this structure over the single-layer LSTM which attempts to learn all hidden structures in melodies. Compared with the recently proposed models MidiNet and MusicVAE, the HRNN produces better melodies evaluated by humans.