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The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

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  • Erwan Gautier

    ()
    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • Ronan Le Saout

    ()
    (ENSAE - École Nationale de la Statistique et de l'Administration Économique - ENSAE ParisTech)

Abstract

Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a M-shape as predicted by an adjustment cost model. Using a reduced form statedependent pricing model with time-varying random thresholds, we find that the degree of pass through of wholesale prices to retail gasoline prices is on average 0:77 for diesel and 0:67 for petrol. The duration for a shock to be fully transmitted into prices is about 10 days. There is no significant asymmetry in the transmission of wholesale price to retail prices.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00759095.

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Date of creation: 18 Sep 2012
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Handle: RePEc:hal:wpaper:hal-00759095

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Keywords: price stickiness ; adjustment costs ; (S; s) models ; gasoline price.;

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Cited by:
  1. Berardi, N. & Gautier, E. & Le Bihan, H., 2013. "More Facts about Prices: France Before and During the Great Recession," Working papers 425, Banque de France.

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