This chapter reviews the implications of various forms of incomplete information in an otherwise standard model of exchange rate determination. First, it talks about a standard "benchmark" monetary model of exchange rate determination that makes the usual set of restrictive assumptions about the information structure. Next, the chapter examines the impact of incomplete information within a two-country version of this standard framework. The first deviation from the benchmark considered is information heterogeneity as analyzed in Bacchetta and van Wincoop. Then, the chapter introduces model uncertainty in the form of time-varying structural parameters that are unknown. Finally, it discusses what happens when investors do not continuously process all available information.