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Empirical studies of long-term interest rate behavior using the Campbell-Shiller (1987) methodology generally observe spread overreaction compared with the movements implied by the expectations theory of the term structure of interest rates, especially for the United States. However, this finding is based on a particular specification of short-term interest rate behavior. This paper addresses two questions. First of all, we look at whether the use of a Markov switching VAR model improves the acceptance of the theory for France by taking into account any regime shifts in the stochastic process followed by the vector autoregression. We then study the effect of macroeconomic factors on the division of the period between the two states. We find that Markov chain models improve the statistical acceptance of the expectations theory and identify the effect of the French franc-deutsch mark exchange rate on the empirical findings.