APPEND-C
Appendix C - 2nd Edition
International Fisher Effect Calculations:
U.S. and Germany
Date Current Future Percent i$ iDM (i$-iDM)/ Deviation
Spot Spot Change 3-month 3-month (1+iDM) from Fisher
Rate Rate Spot Euro Euro Open
10573 0.3120 0.3520 0.1282 5.8750 3.6875 0.0054 0.1228
33073 0.3520 0.4117 0.1696 8.6250 2.5000 0.0152 0.1544
62873 0.4117 0.4142 0.0061 9.0625 6.1250 0.0072 -0.0012
92873 0.4142 0.3702 -0.1062 10.3750 6.1250 0.0105 -0.1167
122873 0.3702 0.3955 0.0683 10.1250 11.0000 -0.0021 0.0705
32974 0.3955 0.3919 -0.0091 9.8750 10.0000 -0.0003 -0.0088
62874 0.3919 0.3759 -0.0408 13.3750 10.8750 0.0061 -0.0469
92774 0.3759 0.4136 0.1003 12.1875 9.6250 0.0063 0.0940
122774 0.4136 0.4265 0.0312 10.4375 8.0000 0.0060 0.0252
32875 0.4265 0.4252 -0.0030 6.8750 4.5000 0.0059 -0.0089
62775 0.4252 0.3762 -0.1152 6.6875 4.8125 0.0046 -0.1199
92675 0.3762 0.3830 0.0181 7.5000 4.0000 0.0087 0.0094
122675 0.3830 0.3918 0.0230 6.1875 4.1250 0.0051 0.0179
32676 0.3918 0.3881 -0.0094 5.3750 3.1875 0.0054 -0.0149
62576 0.3881 0.4042 0.0415 5.9375 4.2500 0.0042 0.0373
92476 0.4042 0.4245 0.0502 5.5000 4.5000 0.0025 0.0478
123076 0.4245 0.4182 -0.0148 5.0625 4.8750 0.0005 -0.0153
32577 0.4182 0.4253 0.0170 5.1250 4.5000 0.0015 0.0154
62477 0.4253 0.4335 0.0193 5.8125 3.8750 0.0048 0.0145
93077 0.4335 0.4763 0.0987 6.8750 3.9375 0.0073 0.0915
123077 0.4763 0.5019 0.0537 7.2500 2.5000 0.0118 0.0419
33178 0.5019 0.4825 -0.0387 7.4375 3.3125 0.0102 -0.0489
63078 0.4825 0.5161 0.0696 8.6250 3.3750 0.0130 0.0566
92978 0.5161 0.5482 0.0622 9.5625 3.6875 0.0146 0.0476
122978 0.5482 0.5352 -0.0237 11.6875 3.4375 0.0204 -0.0442
33079 0.5352 0.5446 0.0176 10.6250 4.9375 0.0140 0.0035
62979 0.5446 0.5739 0.0538 10.4375 6.3750 0.0100 0.0438
92879 0.5739 0.5792 0.0092 12.7500 7.3750 0.0132 -0.0040
122879 0.5792 0.5184 -0.1050 14.9375 8.8750 0.0148 -0.1198
32880 0.5184 0.5667 0.0931 19.3750 9.7500 0.0235 0.0696
62780 0.5667 0.5544 -0.0216 9.4375 9.4375 0.0000 -0.0216
92680 0.5544 0.5135 -0.0738 13.1875 8.8750 0.0105 -0.0844
122680 0.5135 0.4689 -0.0868 18.0000 9.6875 0.0203 -0.1070
32781 0.4689 0.4162 -0.1124 14.3750 12.8750 0.0036 -0.1160
62681 0.4162 0.4292 0.0311 18.5000 12.0000 0.0158 0.0153
92581 0.4292 0.4444 0.0356 17.2500 11.9375 0.0129 0.0227
123181 0.4444 0.4173 -0.0611 13.7500 10.5625 0.0078 -0.0688
32682 0.4173 0.4014 -0.0382 15.2500 9.1875 0.0148 -0.0530
62582 0.4014 0.3978 -0.0089 16.5000 9.1875 0.0179 -0.0268
92482 0.3978 0.4210 0.0583 11.8125 7.5625 0.0104 0.0479
123182 0.4210 0.4134 -0.0179 9.1900 5.8750 0.0082 -0.0260
32583 0.4134 0.3961 -0.0419 9.5625 4.8125 0.0117 -0.0536
62483 0.3961 0.3791 -0.0430 9.6875 5.1875 0.0111 -0.0541
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APPEND-C
93083 0.3791 0.3666 -0.0328 9.4375 5.7500 0.0091 -0.0419
123083 0.3666 0.3862 0.0533 9.8125 5.9375 0.0095 0.0437
33084 0.3862 0.3594 -0.0694 10.6250 5.6250 0.0123 -0.0817
62984 0.3594 0.3273 -0.0892 12.1250 5.8750 0.0154 -0.1046
92884 0.3273 0.3185 -0.0271 11.3750 5.7500 0.0139 -0.0409
122884 0.3185 0.3244 0.0185 8.6250 5.5625 0.0076 0.0109
32985 0.3244 0.3291 0.0145 8.9375 5.8750 0.0075 0.0069
62885 0.3291 0.3738 0.1361 7.7500 5.3750 0.0059 0.1302
92785 0.3738 0.4044 0.0817 8.0625 4.4375 0.0090 0.0727
122785 0.4044 0.4307 0.0650 7.9375 4.8125 0.0077 0.0573
32886 0.4307 0.4524 0.0504 7.2500 4.4375 0.0070 0.0435
62786 0.4524 0.4889 0.0808 6.8125 4.5000 0.0057 0.0751
92686 0.4889 0.5083 0.0396 5.9375 4.3750 0.0039 0.0358
122686 0.5083 0.5485 0.0791 6.4375 4.8750 0.0039 0.0752
32787 0.5485 0.5481 -0.0007 6.3125 3.8125 0.0062 -0.0069
62687 0.5481 0.5435 -0.0084 7.0625 3.6875 0.0084 -0.0168
100587 0.5435 0.6365 0.1711 8.1875 4.5000 0.0091 0.1620
123187 0.6365 0.6039 -0.0513 7.3125 3.3125 0.0099 -0.0612
40188 0.6039 0.5487 -0.0914 6.8750 3.2500 0.0090 -0.1003
70188 0.5487 0.5322 -0.0301 7.7500 4.3750 0.0083 -0.0384
93088 0.5322 0.5635 0.0589 8.5000 4.1250 0.0108 0.0481
123088 0.5635 0.5272 -0.0645 9.1875 5.3125 0.0096 -0.0740
33189 0.5272 0.5128 -0.0273 10.1875 6.3125 0.0095 -0.0368
63089 0.5128 0.5353 0.0439 9.1875 6.9375 0.0055 0.0384
92989 0.5353 0.5914 0.1047 9.1250 7.6875 0.0035 0.1011
122989 0.5914 0.5894 -0.0032 8.2500 8.2500 0.0000 -0.0032
33090 0.5894 0.6008 0.0192 8.3750 8.0000 0.0009 0.0183
62990 0.6008 0.6388 0.0632 8.2500 8.0625 0.0005 0.0628
92890 0.6388 0.6673 0.0447 8.2500 8.5000 -0.0006 0.0453
122890 0.6673 0.5858 -0.1221 7.4375 9.2500 -0.0044 -0.1177
32991 0.5858 0.5525 -0.0569 6.3125 9.1875 -0.0070 -0.0499
62891 0.5525 0.5967 0.0800 6.0625 9.0000 -0.0072 0.0871
92791 0.5967 0.6598 0.1059 5.5625 9.2500 -0.0090 0.1149
122791 0.6598 0.6064 -0.0810 4.2500 9.6875 -0.0133 -0.0677
32792 0.6064 0.6492 0.0705 4.2500 9.6250 -0.0131 0.0836
62692 0.6492 0.7020 0.0814 3.8125 9.6875 -0.0143 0.0957
100292 0.7020 0.6200 -0.1169 3.0625 8.8750 -0.0142 -0.1026
123192 0.6200 0.6231 0.0050 3.3125 8.6250 -0.0130 0.0180
40293 0.6231 0.5889 -0.0548 3.1250 7.9375 -0.0118 -0.0430
70293 0.5889 0.6094 0.0347 3.1875 7.3125 -0.0101 0.0449
100193 0.6094 0.5757 -0.0553 3.2500 6.6250 -0.0083 -0.0470
123193 0.5757 0.59 0.0248 3.25 5.8125 -0.0063 0.0311
40194 0.59 0.6254 0.06 3.8125 5.5625 -0.0043 0.0643
70194 0.6254 0.6461 0.0331 4.8125 4.875 -0.0002 0.0333
93094 0.6461 0.6453 -0.0012 5.4375 5.0625 0.0009 -0.0022
123094 0.6453 0.7227 0.1199 6.375 5.5188 0.0021 0.1178
33195 0.7227 0.7227 0 6.1875 4.6875 0.0037 -0.0037
63095 0.7227 0.7048 -0.0248 5.9375 4.5625 0.0034 -0.0282
92995 0.7048 0.6976 -0.0102 5.8125 4.0625 0.0043 -0.0145
122995 0.6976 0.6785 -0.0274 5.5313 3.75 0.0044 -0.0318
32996 0.6785 0.6565 -0.0324 5 3.25 0.0043 -0.0368
62896 0.6565 0.6572 0.0011 5.375 3.25 0.0053 -0.0042
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APPEND-C
92796 0.6572 0.6423 -0.0226 5.3125 3 0.0057 -0.0283
122796 0.6423 0.5979 -0.0692 5.5625 4.0625 0.0037 -0.0729
32897 0.5979 0.5771 -0.0348 5.625 3.125 0.0062 -0.041
62797 0.5771 0.5682 -0.0153 5.625 3 0.0065 -0.0219
92697 0.5682 0.5643 -0.007 5.625 3.3125 0.0057 -0.0127
122697 0.5643 0.5482 -0.0284 5.8125 3.5625 0.0056 -0.034
32798 0.5482 0.5538 0.0102 5.5625 3.4375 0.0053 0.0049
62698 0.5538 0.612 0.105 5.5938 3.4375 0.0053 0.0997
100298 0.612 0.5967 -0.0251 5.1875 3.4375 0.0043 -0.0294
123198 0.5967 0.5518 -0.0752 4.9375 3.125 0.0045 -0.0797
40299 0.5518 0.5236 -0.0511 4.875 2.8125 0.0051 -0.0562
70299 0.5236 0.5498 0.05 5.1875 2.625 0.0064 0.0436
100199 0.5498 0.5153 -0.0628 5.9375 3.1563 0.0069 -0.0697
123199 0.5153 0.4886 -0.0517 5.875 3.2813 0.0064 -0.0581
Source: Harris Bank Data File, New York University
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