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Full-Text Articles in Statistics and Probability
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Matteo Manera
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot …
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Matteo Manera
This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline. Relative to the previous literature, the distinguishing features of the present paper are: i) use of updated and comparable data to carry out an international comparison of gasoline markets; ii) two-stage modeling of the transmission of oil price shocks to gasoline prices (first refinery stage and second distribution stage), in order to assess possible asymmetries at either one or both stages; iii) use of asymmetric error correction models to distinguish between asymmetries that arise from short-run deviations in …