This paper analyzes the panel data of bi-weekly surveys, conducted by the Japan Center for International Finance, on the yen/dollar exchange rate expectations of forty-four institutions for two years. There are four major findings in this paper. First, market participants are found to be heterogeneous. There are significant "individual effects" in their expectation formation. Second, the individual effects have a characteristics of "wishful expectations": exporters expect yen depreciation (relative to others), and importers expect yen appreciation (relative to others). Third, many institutions are found to violate the rational expectations hypothesis. Fourth, forecasts with long horizons showed less yen appreciation than those with short horizons. Cross-equation constraints implied by the consistency of the forecast term structure are strongly rejected in the data.