Oil and pump prices: Testing their asymmetric relationship in a robust way

Bragoudakis, Zacharias; Degiannakis, Stavros; Filis, George

doi:10.1016/j.eneco.2020.104755

Cited by 8 publications

(7 citation statements)

References 52 publications

(49 reference statements)

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“…Therefore, our interest focuses on the estimation of d, that is, the exact number of past trading days that the stock market reveals as the most appropriate conditional estimate of actual GFCF. We note that the proposed optimization technique is close to that introduced by Bragoudakis et al (2020) for modeling the asymmetric relationship of oil and pump prices. However, the fundamental improvement of the method we propose is the optimization based of the conditional estimates instead of the unconditional ones.…”

Section: The Method: a Midas Approachmentioning

confidence: 82%

“…However, the fundamental improvement of the method we propose is the optimization based of the conditional estimates instead of the unconditional ones. For example, if we had followed Bragoudakis et al (2020) method, then, instead of Equation 2, we would have defined the…”

Section: The Method: a Midas Approachmentioning

confidence: 99%

\min_{(d)} ((), Q^{- 1} \sum_{q = 1}^{Q} {({italicGFCF}_{q} - {\overset{GFCF}{true}}_{q})}^{2})

where

{\overset{truê}{italicGFCF}}_{q}

defines the unconditional estimate of GFCF for quarter q based on the full sample. If that was the case, then the estimation would have been simpler 2…”

Section: The Method: a Midas Approachmentioning

confidence: 99%

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Stock market as a nowcasting indicator for real investment

Degiannakis

2021

Journal of Forecasting

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The paper proposes a novel method to assess whether real investment can be nowcasted based on information that is available on the stock market. The stock market index on a daily sampling frequency is assessed as a predictor of gross fixed capital formation on a quarterly sampling frequency. For France, Germany, Greece, and Spain (four representative countries of eurozone), we find significant empirical evidence that the information from the stock market does produce accurate nowcasting values of gross fixed capital formation.

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Section: The Method: a Midas Approachmentioning

confidence: 82%

Section: The Method: a Midas Approachmentioning

confidence: 99%

\min_{(d)} ((), Q^{- 1} \sum_{q = 1}^{Q} {({italicGFCF}_{q} - {\overset{GFCF}{true}}_{q})}^{2})

where

{\overset{truê}{italicGFCF}}_{q}

defines the unconditional estimate of GFCF for quarter q based on the full sample. If that was the case, then the estimation would have been simpler 2…”

Section: The Method: a Midas Approachmentioning

confidence: 99%

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Stock market as a nowcasting indicator for real investment

Degiannakis

2021

Journal of Forecasting

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“…Indeed, the fluctuations in the global oil price have direct impacts on the retail petroleum product prices either in the upstream or downstream sector. The impacts have been studied to be either symmetric or asymmetric (Valadkhani et al 2015;Rahman 2016;Apergis et al 2018;Eleftheriou et al 2018;Kang et al 2018;Bragoudakis et al 2020).…”

Section: Introductionmentioning

confidence: 99%

“…Most of the studies on the asymmetric effects of crude oil prices on retail petroleum prices were on developed countries, while limited studies are available for an emerging country like Nigeria. For instance, most recent studies such as Valadkhani et al (2015) were done for the Australian gasoline market, Rahman (2016) done for the US gasoline market, Apergis et al (2018) for 5 developed countries such as Italy, Spain, Greece, UK and the USA, Eleftheriou et al (2018) also for US gasoline market, Kang et al (2018) for US gasoline market, while the study of Bragoudakis et al (2020) was done for Greek gasoline market. There is no known study for Nigeria despite the country being the largest exporter of crude oil in Africa and given the oil price shocks that have affected the country since she started exporting crude oil from the 1970s to date.…”

Section: Introductionmentioning

confidence: 99%

Crude oil prices pass-through to retail petroleum product prices in Nigeria: evidence from hidden cointegration approach

Olayungbo

2021

Econ Change Restruct

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This study produces the first-ever analysis in Nigeria on the asymmetric response of petroleum product prices to international crude oil prices by employing the hidden cointegration approach on quarterly data spanning from 1973Q1 to 2020Q2. After the preliminary tests of data description, unit root analysis and cointegration test, we find that positive and negative components of both the crude oil and petroleum prices move together in the long run. The result suggests evidence of long-run asymmetry in Nigeria. The empirical findings from both the long-run and short-run results show that petroleum prices in Nigeria respond asymmetrically to changes in crude oil prices. Specifically, the outcomes from the study reveal that positive changes (increase) in crude oil prices produce a larger and stronger effect on petroleum prices than the effect of negative changes (decrease) in crude oil prices indicating evidence of an asymmetric relationship between the two prices in Nigeria. Thus, the findings confirm the existence of the rocket and feather hypothesis in the retail energy market in Nigeria. Overall, the study finds convincing evidence to support the hypothesis of "rocket and feather" in the pass-through effect of crude oil prices on petroleum prices in Nigeria. The study advocates for more government intervention in the energy market to reduce the welfare loss associated with an increase in crude oil prices on the citizens.

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Estimating retail gasoline price dynamics: The effects of sample characteristics and research design

Deltas

Polemis

2020

Energy Economics

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The study shows that much of the variation in the findings of the literature on retail gasoline price dynamics is systematic rather than sample variation from using different data. Estimates of passthrough rates depend systematically on research design and features of the data, such as the sampling frequency, the choice of upstream price, whether taxes are included or not, the sample length, and the postulated lag structure. In addition, there are systematic differences between time periods and countries. Using a 20 year-long dataset of 28 European Union countries we quantify the extent of estimate variation that arises from the choice of data structure from that arising from temporal and country heterogeneity and sampling variation. We also show that country heterogeneity itself has systematic components, with wealthier countries experiencing slower adjustments. Our results inform the interpretation of results on pass-through rates derived from Error Correction Models.

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Oil and pump prices: Testing their asymmetric relationship in a robust way

Cited by 8 publications

References 52 publications

Stock market as a nowcasting indicator for real investment

Stock market as a nowcasting indicator for real investment

Crude oil prices pass-through to retail petroleum product prices in Nigeria: evidence from hidden cointegration approach

Estimating retail gasoline price dynamics: The effects of sample characteristics and research design

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