This final work is aimed at the concept of relationship between exchange rate and interest rate differential. The introductory part briefly describes exchange rate as a macro-economical parameter, which can be seen in many different systems of exchange rate. Next part consists of theoretical principles of uncovered interest parity and the dynamics of this process and also the process of international Fisher effect. In the analysis part the relation between interest rate and exchange rate is explored in various conditions of exchange rate arrangements in the countries of Denmark, Norway, Sweden and Slovakia. The uncovered interest parity is valued by graphic analysis made by calculation of the theoretical rate based on uncovered interest parity and the off-set index rate. International Fisher effect is tested on the graph of change in exchange rate depending on the interest rate differential. The graphic analysis is followed by the analysis of linear regression. Afterwards with the use of VAR model we find not only the dependence of exchange rate on interest rate differential but also whether the interest rate differential is dependent on exchange rate or not.