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This paper demonstrates how to create arbitrage-free models of the term structure of interest rates where various expectations hypotheses can hold. The authors generalize a Gaussian non-Markovian example of the unbiased expectations hypothesis (U-EH). In doing so, they contradict the proposition by Cox, Ingersoll, and Ross (CIR, 1981) that suggests the local expectations theory could hold. The example is generalized in three ways: 1) the U-EH is characterized by terms of forward rates, 2) the characterization is extended to a class of expectations hypotheses that includes all of those considered by CIR, and 3) a stationary Markovian and non-Gaussian economies are constructed. This working paper is available at the US Federal Reserve Board. You can access this site by going to www.federalreserve.gov/pubs/workingpapers.htm.