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Full-Text Articles in Social and Behavioral Sciences
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 …
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Matteo Manera
In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such …
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Matteo Manera
Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several authors have considered the direct channels of transmission of energy price increases, other authors have argued that the economic downturns arose from the monetary policy response to the inflation presumably caused by oil price increases. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study …