The purpose of this paper is to solve the puzzle of UIP(Uncovered Interest Parity). Here we derive the real IFE(International Fisher Effect) and empirically tests the validity of the real and nominal IFE in the case of KRW/USD exchange rates. In addition, we check the mediation effect of the dI(inflation rate differential) variable by adopting the Baron and Kenny’s(1986) model in our empirical tests. Main findings are as follows: 1) The nominal and the real IFE do not hold in the real world. In addition, the mediator variable of dI does not play an expected role in our empirical test model. 2) We find unexpectedly that the Fisher Effect holds empirically between the two countries. It tells us that the financial/capital markets of the US and Korea have been brought closer beyond our recognition. 3) In the case of the KRW/USD rate, the UIP puzzle might not be a puzzle. That is, the higher nominal interest rates meant the higher real interest rates for Korea due to dR(nominal interest rates differential) has been greater than dI(inflation rates differential) in the two countries.