This paper investigates the possibility of asymmetry in the relationship between the nominal interest rate and expected inflation as prescribed by the Fisher hypothesis. On the basis of quarterly data covering three countries we find evidence for asymmetry in the relationship. Three explanations are presented as to why the interest rate-inflation relationship may be asymmetric. These explanations are based on (i) the presence of a ratchet effect in the interest rate-inflation nexus; (ii) the assumption that the monetary authorities are oversensitive to inflation; and (iii) the view that the inflation rate is the rate of return on real assets.