In this paper we analyse the possible existence of the Fisher effect in the Spanish economy, by taking into account that both the nominal interest rate and the inflation rate in Spain are likely to present structural changes derived from some exogenous shock. Not considering these structural changes could has led to reject the existence of such an effect for the Spanish case. However, once these structural changes are accounted for, we show that the Fisher effect may in fact hold for the Spanish economy. For this purpose, we use the nonlinear cotrending test developed by Bierens (2000), which takes the form of a cointegration test when the series under analysis are not stationary.

Key words: nonlinear cotrending, Fisher effect, cointegration, exante real interest rate.
JEL classification: E49, C19.