It's not an aways thing, but forex exchange rates are definitely linked to short term interest rates - not so much with bonds, which are longer-term instruments. It's a question of return. Capital seeks the highest possible return for a given risk level. All else being equal, a country with a higher interest rate will tend to attract more capital, driving the value of its currency higher. That "all else being equal" part is important, though. It very rarely is.
