In this paper, we test nonlinear causality between global oil price changes and short-term real interest rate in large net oil consuming and producing countries. Applying nonlinear non-parametric Hiemstra-Jones and parametric Mackey-Glass models, we find no evidence to suggest that potential direct effects of global oil price changes on short-term real interest rate are nonlinear in net oil consuming countries. In contrast, such effects are reported to be nonlinear and asymmetric in net oil producing countries.