We propose an augmented and dynamic forecast anchoring model to examine whether a group of rational forecasters coexists with or emerges beside a group of forecasters employing heuristic rules. This model is consistent with the economically rational expectations theory. Using experts’ 3-month and 10-year Treasury bill rate survey expectations at short and long horizons, we find that aggregate expectations fail to exhibit a learning process towards rationality. While forecasters essentially anchor their judgements to heuristics, a small proportion of agents rationally forecast the short term interest rate, possibly due to Federal Reserve’s transparency practice in the conduct of monetary policy and forward guidance at the zero-lower bound.