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Long-run price behaviour in the gasoline market - The role of exogeneity

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  • Tabaghdehi, Seyedeh Asieh H.
  • Hunter, John

Abstract

Concentrating on cointegration analysis, this study aims to detect key features of long-run price behaviour in the US gasoline market. This research by following Forni (2004) first examines the stationarity and cointegration properties of the weekly gasoline prices across eight different regions of the US. Second it considers the arbitrage and the extent to which the market prices respond to each other in terms of both cointegrating and weak exogeneity in the long run. Results reveal the importance of the long-run information in a competitive market. Also, the gasoline market in US is not effectively functioning and this suggests to a change in the regulation of the gasoline market to enhance competition. Significant implication for consumers and policy makers are emphasized.

Suggested Citation

  • Tabaghdehi, Seyedeh Asieh H. & Hunter, John, 2020. "Long-run price behaviour in the gasoline market - The role of exogeneity," Journal of Business Research, Elsevier, vol. 116(C), pages 620-627.
    • Handle: RePEc:eee:jbrese:v:116:y:2020:i:c:p:620-627
    DOI: 10.1016/j.jbusres.2019.03.028
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    References listed on IDEAS

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