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Do daily retail gasoline prices adjust asymmetrically?

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  • L. Bettendorf
  • S. A. van der Geest
  • G. H. Kuper

Abstract

This paper analyses adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004, taking care of volatility clustering by estimating an EGARCH model. It turns out that the volatility process is asymmetrical: a positive shock to the retail price has a greater effect on the variance of the retail price than a negative shock. We conclude that the retail price and the spot price do not drift apart in the long run. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices in the short run. This asymmetry starts 3 days after the change in the spot price and lasts for 4 days.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 36 (2009)
Issue (Month): 4 ()
Pages: 385-397

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Handle: RePEc:taf:japsta:v:36:y:2009:i:4:p:385-397

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Keywords: asymmetry; retail gasoline prices; volatility;

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References

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Citations

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Cited by:
  1. Riemer P. Faber, 2009. "Asymmetric Price Responses of Gasoline Stations: Evidence for Heterogeneity of Retailers," Tinbergen Institute Discussion Papers 09-106/1, Tinbergen Institute.
  2. Abbas Valadkhani & Martin O'Brien & Amir Arjomandi, 2013. "Examining the nature of the relationship between Tapis crude oil and Singapore petrol prices," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 36(1), pages 27-41.
  3. Oystein Foros & Frode Steen, 2008. "Gasoline Prices Jump Up on Mondays: An Outcome of Aggressive Competition?," Working Papers 08-20, Centre for Competition Policy, University of East Anglia.
  4. Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012. "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, vol. 34(5), pages 1370-1379.
  5. Leo de Haan & Elmer Sterken, 2005. "Asymmetric Price Adjustment in the Dutch Mortgage Market," DNB Working Papers 061, Netherlands Central Bank, Research Department.
  6. Abbas Valadkhani & Sajid Anwar, 2012. "Interest Rate Pass-Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 341-350, 09.
  7. Sunil Mohanty & Aigbe Akhigbe & Tawfeek Al-Khyal & Turki Bugshan, 2013. "Oil and stock market activity when prices go up and down: the case of the oil and gas industry," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 253-272, August.
  8. Perdiguero-García, Jordi, 2013. "Symmetric or asymmetric oil prices? A meta-analysis approach," Energy Policy, Elsevier, vol. 57(C), pages 389-397.
  9. Balaguer, Jacint & Ripollés, Jordi, 2013. "Asymmetric fuel price responses under heterogeneity," MPRA Paper 52481, University Library of Munich, Germany.
  10. Abbas Valadkhani & Sajid Anwar & Amir Arjonandi, 2012. "How to capture the full extent of price stickiness in credit card interest rates?," Economics Working Papers wp12-02, School of Economics, University of Wollongong, NSW, Australia.
  11. Riemer P. Faber & Maarten C.W. Janssen, 2008. "On the Effects of Suggested Prices in Gasoline Markets," Tinbergen Institute Discussion Papers 08-116/1, Tinbergen Institute.
  12. Jordi Perdiguero-García, 2010. "“Symmetric or asymmetric gasoline prices? A metaanalysis approach”," IREA Working Papers 201013, University of Barcelona, Research Institute of Applied Economics, revised Nov 2010.
  13. Balaguer, Jacint & Ripollés, Jordi, 2012. "Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data," Energy Economics, Elsevier, vol. 34(6), pages 2066-2071.
  14. Riemer P. Faber, 2009. "Asymmetric Price Responses of Gasoline Stations: Evidence for Heterogeneity of Retailers," Tinbergen Institute Discussion Papers 09-106/1, Tinbergen Institute.

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