Do daily retail gasoline prices adjust asymmetrically?
Journal of Applied Statistics , Volume 36 - Issue 4 p. 385- 397
This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the volatility process is asymmetri-cal: a positive shock to the retail price has a greater effect on the variance of the retail price than a negative shock. We conclude that the retail price and the spot price do not drift apart in the long run. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices in the short run. This asymmetry starts 3 days after the change in the spot price and lasts for 4 days.
|Journal of Applied Statistics|
|Organisation||Erasmus School of Health Policy & Management (ESHPM)|
Bettendorf, L.J.H, van der Geest, S.A, & Kuper, G.H. (2009). Do daily retail gasoline prices adjust asymmetrically?. Journal of Applied Statistics, 36(4), 385–397. doi:10.1080/02664760802466468