This paper investigates the validity of the Fisher hypothesis from the Japanese interest rate swap market by using non-stationary time series models. The data used for the analysis are confirmed to be I(1) by unit root tests. From the tests of cointegration and cointegration vector, I can conclude that the Fisher hypothesis doesn't hold in the long term interest rates of 2 years, 3 years, 4 years, 5 years, 7 years and 10 years from October 1987 through June 2006. This result isn't surprising since the sample period includes deflationary period when inflation rates were negative and the nominal interest rates decreased to historical low level.