This study tests the validity of the Expectations Hypothesis (EH) in an emerging market context and the utility of the information content of the term structure to predict the interest rate changes. This study extends the model used by Bulkley et al. (2011) to test the Expectation Hypothesis with a feature to allow for an unobservable Markov regime switching. The results reveals that the long and short term rates were found co-integrated before the onset of 2008 Global Financial Crisis, whereas, after the crisis, these were only partially co-integrated. These results marginally support the validity of expectation hypothesis in the Indian market. Further, it was found that the yield spread and the forward spot spread contained useful information to predict the interest rate changes. The results of the study provide valuable insights to the policy makers for efficient monetary policy management.