Nonlinear interest rate effects of global oil price changes: the comparison of net oil-consuming and net oil-producing countries

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...

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Bibliographic Details
Published in:	Applied economics letters Vol. 22; no. 9; pp. 693 - 699
Main Authors:	Sotoudeh, M. Ali, Worthington, Andrew C.
Format:	Journal Article
Language:	English
Published:	London Routledge 13-06-2015 Taylor & Francis LLC
Subjects:	Asymmetry Causality Comparative analysis Crude oil prices Economic models global oil price Interest rates net oil-consuming/oil-producing countries nonlinearity Oil price Price level changes short-term interest rate Studies
Online Access:	Get full text
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Summary:	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.
Bibliography:	ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 23
ISSN:	1350-4851 1466-4291
DOI:	10.1080/13504851.2014.969821