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.