Before the introduction of Treasury Inflation-Indexed Securities (TIIS) in January 1997, the ex ante real rate in the United States was unobservable. This study describes the new Treasury security and extracts from its price a time series of ex ante real pure discount rates with a constant 10-year maturity. The study then identifies an ex ante nominal rate time series counterpart. Empirical evidence from Johansen's cointegration analysis indicates that there exists a cointegrated system between the real and nominal rates. This finding casts doubt on the accuracy of tests of the Fisher effect that infer a constant or stationary real rate.