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Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data

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  • Balaguer, Jacint
  • Ripollés, Jordi

Abstract

In 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 Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 34 (2012)
Issue (Month): 6 ()
Pages: 2066-2071

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Handle: RePEc:eee:eneeco:v:34:y:2012:i:6:p:2066-2071

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

Related research

Keywords: Price transmission; Asymmetry; Daily data; Fuel products;

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References

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Citations

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Cited by:
  1. Balaguer, Jacint & Ripollés, Jordi, 2013. "Asymmetric fuel price responses under heterogeneity," MPRA Paper 52481, University Library of Munich, Germany.
  2. Venditti, Fabrizio, 2013. "From oil to consumer energy prices: How much asymmetry along the way?," Energy Economics, Elsevier, vol. 40(C), pages 468-473.
  3. Tuan Van Nguyen, 2013. "The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(2), pages 27 – 40., June.
  4. Valadkhani, Abbas, 2013. "Do petrol prices rise faster than they fall when the market shows significant disequilibria?," Energy Economics, Elsevier, vol. 39(C), pages 66-80.

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