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

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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?," Working Papers 2014-081, Department of Research, Ipag Business School.

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