Modern macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis. Yet, the prevailing empirical evidence has shown the Expectations Hypothesis to be consistently rejected in the data. One possible explanation for this failure is the widespread assumption that expectations are rational and stable in the long run. We introduce a parsimonious multivariate model of expectations formation with time-varying means and deviations from rationality that explains the entire universe of US professional forecasts. We show that even under these more general conditions the term structure of expectations only weakly co-move with Treasury forward rates. The Expectations Hypothesis fails systematically implying that new mechanisms are needed for macro models to observed behavior of interest rates.