Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis / Robert E. Cumby, Maurice Obstfeld.

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Cumby, Robert E

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0537.Publication details: Cambridge, Mass. National Bureau of Economic Research 1980.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: This 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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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0537 (Browse shelf(Opens below))	Not For Loan

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August 1980.

This 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.