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Anticipated and unanticipated effects of crude oil prices and gasoline inventory changes on gasoline prices

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  • Radchenko, Stanislav
  • Shapiro, Dmitry

Abstract

This paper examines the effect of anticipated and unanticipated changes in oil prices and gasoline inventory on US gasoline prices. We estimate empirical responses to anticipated and unanticipated changes in oil prices and gasoline inventory and show that gasoline price adjustments are faster and stronger for anticipated changes in oil prices and inventory levels than for unanticipated changes. Furthermore, this difference is statistically significant. We use these findings to evaluate the cost of adjustment hypothesis suggested by Borenstein and Shephard (2002). We also find that there is an asymmetry in the effect of gasoline inventory on gasoline and oil prices. This finding complements a well-known result that positive and negative changes in oil prices have asymmetric effect on gasoline prices.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 33 (2011)
Issue (Month): 5 (September)
Pages: 758-769

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Handle: RePEc:eee:eneeco:v:33:y:2011:i:5:p:758-769

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Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Gasoline price response Anticipated price changes Gasoline inventory Lags in gasoline adjustment Unanticipated price changes;

References

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Cited by:
  1. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
  2. Polemis, Michael L. & Fotis, Panagiotis N., 2013. "Do gasoline prices respond asymmetrically in the euro zone area? Evidence from cointegrated panel data analysis," Energy Policy, Elsevier, vol. 56(C), pages 425-433.

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