In this paper, we have found strong evidence for a long-run unit proportional relationship between nominal interest rates and anticipated inflation for three high inflation economies (Argentina, Brazil and Mexico). These results contrast with the mixed evidence found for low inflation economies. We also found that for those three countries, as well as for the United States and Australia, the speed of adjustment of interest rates to inflationary shocks does not appear to depend directly on the absolute level of the inflation rate or any measure of inflation rate volatility.