全球智库信息集成服务系统(G2TT): Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?
	Andrea Bastianin; Marzio Galeotti; Matteo Manera
发表日期	2014
出处	Energy: Resources and Markets
出版年	2014
语种	英语
摘要	According to the Rockets and Feathers hypothesis (RFH), the transmission mechanism of positive and negative changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting that downstream prices are more reactive to increases than to decreases in upstream prices, little is known about the forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this paper we fill this gap by comparing point, sign and probability forecasts from a variety of Asymmetric-ECM (A-ECM) and Threshold Autoregressive ECM (TAR-ECM) specifications against a standard ECM. Forecasts from A-ECM and TAR-ECM subsume the RFH, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due to incorporating the RFH in predictive models for the prices of gasoline and diesel. We show that the RFH is useless for point forecasting, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. *** Suggested citation: Andrea Bastianin, Marzio Galeotti, Matteo Manera, Forecasting the oil–gasoline price relationship: Do asymmetries help?, Energy Economics, Volume 46, Supplement 1, December 2014, Pages S44-S56, ISSN 0140-9883, http://dx.doi.org/10.1016/j.eneco.2014.08.006
特色分类	C22;C32;C53;Q40;Q47
关键词	Asymmetries Forecast Evaluation Gasoline Crude Oil Rockets and Feathers
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/forecasting-the-oil-gasoline-price-relationship-should-we-care-about-the-rockets-and-the-feathers/
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/118274
推荐引用方式 GB/T 7714	Andrea Bastianin,Marzio Galeotti,Matteo Manera. Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?. 2014.

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
2014371052421Nota_di（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
2014371052514NDL2014（843KB）	智库出版物		限制开放	CC BY-NC-SA	浏览