This paper tests the expectations hypothesis of the term structure on US, German, French, and UK Euro-rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the ?sign puzzle' highlighted by Campbell and Shiller (Campbell, J.Y., Shiller, R.J., 1991. Yield spreads and interest rate movements: a bird's eye view. Review of Economic Studies 58, 495?514) for US data does not arise in the cases of French and UK short-term rates. Second, we propose tests for the expectations hypothesis based on error-correction models. With these tests the sign puzzle disappears, but the ?country puzzle' remains.