According to uncovered interest parity (UIP) theory, the rates of return on comparable assets should be equal across the world, implying that the exchange rate would adjust to ensure that difference between world interest rates average zero.  The evidence for this theory has been mixed, but more convincing than for purchasing power parity.  The aim of this paper is to examine the structure of the UIP rand/dollar exchange rate using fractional integration techniques.  Fractional integration investigates the unit root properties of a series by not only classifying a series as integrated to the order of 1 or 0 – I(1) or I(0) –  but as fractions between 0 and 2.  A series where the order of integration is less than 1 indicates mean reversion, but not when it is greater or equal to 1. Similarly, if the order of integration is 0 the series exhibits short memory, but when it is greater than 0, it indicates long memory.