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Exchange-Rate Expectations and Nominal Interest Differentials: A Test ofthe Fisher Hypothesis / Robert E. Cumby, Maurice Obstfeld.
- Format:
- Book
- Author/Creator:
- Cumby, Robert E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0537.
- NBER working paper series no. w0537
- Language:
- English
- Subjects (All):
- Foreign exchange--Mathematical models.
- Foreign exchange.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Exchange-Rate Expectations and Nominal Interest Differentials
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1980.
- Cambridge, Mass. : National Bureau of Economic Research, 1980.
- Summary:
- 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.
- Notes:
- Print version record
- August 1980.
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