Do gasoline prices exhibit asymmetry? Not usually

Previous studies have found evidence of asymmetric price adjustment in U.S. retail gasoline prices in that gasoline prices rise more rapidly in response to a cost increase than fall in response to a cost decrease. By estimating a threshold cointegration model that allows for multiple regimes, I am a...

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Bibliographic Details
Published inEnergy economics Vol. 32; no. 4; pp. 918 - 925
Main Author Douglas, Christopher C.
Format Journal Article
LanguageEnglish
Published Kidlington Elsevier B.V 01.07.2010
Elsevier
Elsevier Science Ltd
SeriesEnergy Economics
Subjects
Asymmetric price adjustment
Asymmetry
Cointegration
Cointegration analysis
Cost analysis
Cost engineering
Economic models
Economics
Energy economics
Estimating
Fuels
Gasoline
Gasoline prices
Gasoline prices Asymmetric price adjustment Threshold cointegration
Price formation
Retail prices
Studies
Threshold cointegration
Thresholds
U.S.A
United States > US
USA
D40
C32
Q40
Asymmetric price adjustment
Gasoline prices
Threshold cointegration
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Summary:Previous studies have found evidence of asymmetric price adjustment in U.S. retail gasoline prices in that gasoline prices rise more rapidly in response to a cost increase than fall in response to a cost decrease. By estimating a threshold cointegration model that allows for multiple regimes, I am able to test how sensitive this result is to outlying observations. In contrast to previous studies, I find little evidence of asymmetry for the vast majority of observations and that the asymmetry is being driven by a small number of outlying observations.
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ISSN:0140-9883
1873-6181
DOI:10.1016/j.eneco.2009.12.002