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Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices

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  • Atil, Ahmed
  • Lahiani, Amine
  • Nguyen, Duc Khuong

Abstract

In this article, we use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allows us to simultaneously test the short- and long-run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner, but the price transmission mechanism is not the same. Important policy implications can be learned from the empirical findings.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Policy.

Volume (Year): 65 (2014)
Issue (Month): C ()
Pages: 567-573

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Handle: RePEc:eee:enepol:v:65:y:2014:i:c:p:567-573

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Keywords: Energy price transmission; NARDL model; Asymmetric pass-through;

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Cited by:
  1. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short-term dynamics of the prices of CO2 emissions?," NIPE Working Papers, NIPE - Universidade do Minho 04/2014, NIPE - Universidade do Minho.
  2. Sahbi Farhani & Muhammad Shahbaz, 2014. "What role of renewable and nonrenewable electricity consumption and output is needed to initially mitigate CO2 emissions in MENA region?," Working Papers 2014-455, Department of Research, Ipag Business School.
  3. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion- Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-062, Department of Research, Ipag Business School.
  4. Suleiman Sa ad & Muhammad Shahbaz, 2014. "Price and Income Elasticities of Demand for Oil Products in African Member Countries of OPEC: A Cointegration Analysis," Working Papers 2014-486, Department of Research, Ipag Business School.
  5. Atil, Ahmed & Lahiani, Amine & Nguyen, Duc Khuong, 2014. "Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices," Energy Policy, Elsevier, Elsevier, vol. 65(C), pages 567-573.
  6. Sahbi Farhani & Muhammad Shahbaz & Rashid Sbia & Anissa Chaibi, 2014. "What is MENA Region Initially Needed: Grow Output or Mitigate CO2 Emissions?," Working Papers 2014-529, Department of Research, Ipag Business School.

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