Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis
AbstractThis note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the hypothesis of perfect asset substitutability, has been a major component of recent theories of exchange-rate determination, and has important implications for monetary policy.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0537.
Date of creation: Aug 1980
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Publication status: published as Cumby Robert E. and Obstfeld, Maurice. "A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis." The Journal of Finance, Vol. XXXVI, No. 3, (June 1981), pp. 697-703.
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