Motivated by evidence of systematic forecast errors by market participants and professional forecasters, we construct a model of exchange rate determination where investors each (1) receive noisy private signals about the future path of interest rate differentials between the US and other...

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...