Eurocurrency deposit rates for Germany, Japan, the UK and the US are used to investigate term structure linkages over the 1979–85 and 1986–01 periods. A single common trend drives the term structure in each country, with 1-month rates generally having little or no influence in setting the long-term trend. Cointegration and common factor analyses based on the intracurrency common factors suggest weaker integration of economic fundamentals following the Plaza Accord in 1986. However, using a 10-year moving window to examine the 1986–01 period, similar tests show that integration increased between the 1986–95 and 1988–97 periods, but declined again by 1992–01.