Asymmetry in the prices of crude oil and diesel and gasoline prices in Brazil
Gerrio Barbosa,
Daniel Sousa,
Cássio da Nóbrega Besarria
et al.
Abstract:PurposeThe aim of this study was to determine if there are asymmetries in the pass-through of West Texas Intermediate (WTI) crude oil prices to its derivatives (diesel and gasoline) in the Brazilian market.Design/methodology/approachInitially, the future WTI oil price series was analyzed using the self-exciting threshold autoregressive (SETAR) and logistic smooth transition autoregressive (LSTAR) non-linear models. Subsequently, the threshold autoregressive error-correction model (TAR-ECM) and Markov-switching… Show more
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