This paper investigates the validity of the Fisher effect hypothesis that it is the interest rate that moves to adjust to anticipated changes in the rate of inflation. The analysis is carried out with monthly data for the period 1980–1997 for three countries that have a recent history of chronic high inflation: Argentina, Brazil and Mexico. A cointegration analysis provided evidence of a stable long-run equilibrium relationship between nominal interest rates and the inflation rate for the cases of Argentina and Brazil only.