| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship | |
| Matteo Manera; Margherita Grasso | |
| 发表日期 | 2005 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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 gasoline and crude oil prices, as well as some evidence of asymmetric behaviour. However, the type of market and the number of countries which are characterized by asymmetric oil-gasoline price relations vary across models. The asymmetric ECM yields some evidence of asymmetry for all countries, mainly at the distribution stage. The threshold ECM strongly rejects the null hypothesis of symmetric price behaviour, particularly in the case of France and Germany. Finally, the ECM with threshold cointegration finds long-run asymmetry for each country in the reaction of retail prices to oil price changes. |
| 特色分类 | C22,D40,Q40 |
| 关键词 | Oil prices,Gasoline prices,Asymmetries,Error correction models |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/asymmetric-error-correction-models-for-the-oil-gasoline-price-relationship/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117187 |
| 推荐引用方式 GB/T 7714 | Matteo Manera,Margherita Grasso. Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2005-075.pdf（785KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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