Generally, higher interest rates lead to currency depreciation.
It is called Covered Interest Parity.
If you have an investment of comparable risk (e.g. government-guaranteed bonds in a developed country, the same level of credit and duration risk), then the expected return after inflation should be the same.
For instance, if you get 1% more in currency A than in currency B, with all else being equal in the quality of the investment, then at maturity, when you convert the currencies back, they should have the same value, so you aren’t actually getting a higher return just because it’s a different number.
Of course, there is the Uncovered Interest Parity anomaly where currencies with higher interest rates don’t decline, and there are extended periods when the exchange rates have moved in the wrong direction, but as it can move away from the expected amount in either direction, your expected return has not changed, just the range of possible returns, which is the definition of risk. So, you’re taking an uncompensated risk – a risk without an associated increase in expected return. Of course, there is the Uncovered Interest Parity anomaly where currencies with higher interest rates don’t decline, and there are extended periods when the exchange rates have moved in the wrong direction, but as it can move away from the expected amount, either way, your expected return has not changed, just the range of possible returns, which is the definition of risk. So, you’re taking an uncompensated risk – a risk without an associated increase in expected return.