Interest Rate and Spot FX Relation: The Peruvian Sol (S/.) and the U.S. Dollar (U.S. $) in the Financial Market in Peru: Fisher Model for Determining the Peruvian Future Exchange in Electronic Mechanisms

Abstract

This paper aims to show the relationship between interest rates used in the Peruvian financial market in national currency (interbank rate) and foreign currency (reference: prime rate) and future exchange rate or term (forwards by name in English) for the period from January 2004 to July 2009. We consider the interest rate the U.S. currency in view of the Central Reserve Bank of Peru maintains accounts of various entities in the Peruvian Financial System in U.S. dollars. Also the relationship to be tested may serve as a tool to generate coverage and reduce risks in financial transactions mentioned in Basel II and Basel III.