In Part I the author was concerned with modeling the monthly logarithmicnCHF/USD exchange rate, ''s''. He rejected a model proposed by B.T.nMcCallum. Searching for a more appropriate framework a story by P. DenGrauwe was introduced, bringing complex cognitive processes and socialnpractices into the picture.nThis paper treats again P. De Grauwe's story, supplements it and embedds itninto a broader setting showing its links to a subtle concept of agents'nrationality. We derive a testable implication of this approach. Althoughnthe test result is negative, it will be helpful for the misspecificationnanalysis of B.T. McCallum's model (applied to ''s''), which will finally benpresented in Part III of this paper.