Nonlinear interest rate effects of global oil price changes: the comparison of net oil-consuming and net oil-producing countries
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In this article, we test nonlinear causality between global oil price (OP) changes and short-term real interest rate (IR) in large net oil-consuming and net oil-producing countries. Applying nonlinear nonparametric Hiemstra–Jones model and nonlinear parametric Mackey–Glass model, we find no evidence to suggest that potential direct effects of global OP changes on short-term IR are nonlinear in net oil-consuming countries. In contrast, we find such effects to be nonlinear and asymmetric in net oil-producing countries.
Applied Economics Letters
© 2015 Taylor & Francis (Routledge). This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 28 Oct 2014, available online: http://www.tandfonline.com/doi/abs/10.1080/13504851.2014.969821
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