Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data
AbstractIn this work we use daily data to examine pattern asymmetries in the speed of transmission of international wholesale oil prices to Spanish retail fuel prices. Results are robust to two alternative specifications of an asymmetric error correction model, for which the presence of autoregressive conditional heteroskedasticity for disturbances is modeled by a GARCH(1,1) process. Evidence indicates that the short-term transmission of wholesale prices to retail prices is quite symmetric for both gasoline and diesel fuel. Nevertheless, in contrast to some of the results provided for an earlier period, we did not find asymmetries in the speed of retail price responses toward long-run equilibrium. Our evidence also suggests that the use of weekly (or lower frequency) data is one of the possible explanations for some of the seemingly contradictory results concerning this issue.
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 34 (2012)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/locate/eneco
Price transmission; Asymmetry; Daily data; Fuel products;
Find related papers by JEL classification:
- D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
- L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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