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This paper analyses the expectations theory of the term structure of Japanese interest rates. Models considered are multivariate co-integrated VAR with multiple structural breaks in any set of the parameters in the models. For example, we consider structural breaks in the speed of convergence term, the cointegrating vectors, deterministic terms (risk premium) in the cointegrating vector, and covariance matrix. By applying Bayesian method with Markov Chain Monte Carlo simulation techniqque, it is possible to detect simultaneously the appropriate the lag length, the number of rank in the long-run matrix, the number of breaks, and the locations of the breaks.