Asymmetric error correction models for the oil–gasoline price relationship

Abstract

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Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

“…4.2.3) it is obvious that positive coefficients are generally larger, in absolute value, than their negative counterparts for both in the long-run and short-run responses. This finding which is also evident in other empirical studies (Grosso and Manera 2007;Contin et al 2006) reflects the consumers' perception of the actual effects of oil price variations on gasoline price changes at least in the short-run. This means that the effects of upstream price increases are larger than those of price decreases.…”

“…Our point estimate suggests that a 10% increase (or devaluation) in the drachma dollar exchange rate, rendering imported crude oil more expensive in terms of drachma, raises spot prices by ∼4%. This evidence suggests that refineries are generally reluctant to transfer to consumers those price reductions which originate from favourable movements in exchange rates (Grosso and Manera 2007).…”

“…However, from the relevant magnitude of the price coefficients in the wholesale and the retail equations, we assume that retailers do not immediately transfer onto final prices (pump prices) all the adjustments in the wholesale prices. Instead changes are distributed over time (Grosso and Manera 2007). In other words, wholesale price increases and decreases affect retail prices for 3 months, whereas crude oil price variations (increases and decreases) affect the wholesale gasoline price for only 2 months (the initial month plus a lagged month).…”

Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

“…Radchenko and Shapiro [16] pointed out that those gasoline price adjustments were faster and stronger by a statistically significant margin for anticipated changes in oil prices and inventory levels than for unanticipated changes. For Europe, Grasso and Manera [17] used three different models including asymmetric error-correction model (ECM), autoregressive threshold ECM and ECM with threshold co-integration, and tested the asymmetry with monthly data of gasoline prices from France, Germany, Italy, Spain and UK over the period [1985][1986][1987][1988][1989][1990][1991][1992][1993][1994][1995][1996][1997][1998][1999][2000][2001][2002][2003]. They argued that the response of retail gasoline prices to changes in crude oil prices was asymmetric.…”

Investigando a assimetria na transmissão dos preços dos combustíveis no Estado de São Paulo

“…Vários estudos voltaram-se à análise dos ajustes de preços no mercado de combustíveis de muitos países nos últimos anos, com o intuito de identificar assimetrias (BACON, 1991;BORENSTEIN et al, 1997;BALKE et al, 1998;GRASSO;MANERA, 2007;CANÊDO-PINHEIRO, 2012;entre outros as principais pesquisas realizadas na área, e os resultados de maior destaque obtidos.…”