Using a large, previously unexplored data set of survey-based interest rate forecasts that covers a broad range of countries, this paper re-examines the expectations hypothesis of the term structure of interest rates. We find that survey-based interest rate forecasts outperform not only a random...

We develop and estimate a dynamic heterogeneous agent model for the EMS period. Our empirical results suggest that the existence of heterogeneous interacting agents is indeed a possible explanation for the dynamics of exchange rates during the EMS. We find strong evidence of heterogeneous...

This paper investigates the time-varying nature of expectation formation rules for institutional investors in the foreign exchange market. Using a dataset of survey expectations for four exchange rates, we first distinguish three different general rules. We find a momentum rule, a fundamental...