This paper combines survey forecasts with a heterogeneous agent model to examine the dispersion of expectations of participants in the foreign exchange market. We find distinct variations in the level of dispersion and document that dispersion arises because of the combined effect of market...

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...