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Abstract

This paper analyzes 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 the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease. We do not find strong evidence for amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices. This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-040/2.

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Date of creation: 22 Apr 2005
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Handle: RePEc:dgr:uvatin:20050040

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Web page: http://www.tinbergen.nl

Related research

Keywords: Asymmetry; Retail gasoline prices; Volatility;

Other versions of this item:

Find related papers by JEL classification:

• D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
• E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-05-23 (All new papers)
• NEP-COM-2005-05-23 (Industrial Competition)
• NEP-ENE-2005-05-23 (Energy Economics)
• NEP-ETS-2005-05-23 (Econometric Time Series)
• NEP-MAC-2005-05-23 (Macroeconomics)
• NEP-PBE-2005-05-23 (Public Economics)

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 & 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.
3. Foros, Øystein & Steen, Frode, 2008. "Gasoline prices jump up on Mondays: An outcome of aggressive competition?," CEPR Discussion Papers 6783, C.E.P.R. Discussion Papers.
   
   • Foros, Øystein & Steen, Frode, 2009. "Gasoline prices jump up on Mondays: An outcome of aggressive competition?," Discussion Papers 2009/2, Department of Finance and Management Science, Norwegian School of Economics.
   • 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. Leo Haan & Elmer Sterken, 2011. "Bank-Specific Daily Interest Rate Adjustment in the Dutch Mortgage Market," Journal of Financial Services Research, Springer, vol. 39(3), pages 145-159, June.
   
   • Leo de Haan & Elmer Sterken, 2005. "Asymmetric Price Adjustment in the Dutch Mortgage Market," DNB Working Papers 061, Netherlands Central Bank, Research Department.
5. 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.

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