Using a number of short-term maturities and monthly data, 1984-1997, we pro
vide a number of tests of the expectations hypothesis (EH) of the term stru
cture. The paper draws on cointegration techniques and the methodological a
pproach of Campbell and Shiller (1987, 1991). On balance our results lend s
upport to the EH and are broadly consistent with recent findings for the UK
, but are in sharp contrast to those for the US.