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Anticipated and unanticipated effects of crude oil prices and gasoline inventory changes on gasoline prices

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  • Radchenko, Stanislav
  • Shapiro, Dmitry

Abstract

This paper examines the effect of anticipated and unanticipated changes in oil prices and gasoline inventory on US gasoline prices. We estimate empirical responses to anticipated and unanticipated changes in oil prices and gasoline inventory and show that gasoline price adjustments are faster and stronger for anticipated changes in oil prices and inventory levels than for unanticipated changes. Furthermore, this difference is statistically significant. We use these findings to evaluate the cost of adjustment hypothesis suggested by Borenstein and Shephard (2002). We also find that there is an asymmetry in the effect of gasoline inventory on gasoline and oil prices. This finding complements a well-known result that positive and negative changes in oil prices have asymmetric effect on gasoline prices.

Suggested Citation

  • Radchenko, Stanislav & Shapiro, Dmitry, 2011. "Anticipated and unanticipated effects of crude oil prices and gasoline inventory changes on gasoline prices," Energy Economics, Elsevier, vol. 33(5), pages 758-769, September.
  • Handle: RePEc:eee:eneeco:v:33:y:2011:i:5:p:758-769
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    References listed on IDEAS

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    Cited by:

    1. Polemis, Michael L. & Fotis, Panagiotis N., 2014. "The taxation effect on gasoline price asymmetry nexus: Evidence from both sides of the Atlantic," Energy Policy, Elsevier, vol. 73(C), pages 225-233.
    2. Chang, Dongfeng & Serletis, Apostolos, 2018. "Oil, Uncertainty, And Gasoline Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 22(03), pages 546-561, April.
    3. repec:eee:enepol:v:114:y:2018:i:c:p:519-528 is not listed on IDEAS
    4. Ma. Joy Abrenica & Rolando Danao & Ma. Nimfa Mendoza, 2014. "Market competition in the downstream oil industry: is there evidence of price asymmetry?," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 51(2), pages 1-20, December.
    5. Katarzyna Leszkiewicz-Kędzior & Aleksander Welfe, 2014. "Asymmetric Price Adjustments in the Fuel Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(2), pages 105-127, June.
    6. Phaisan Pattanakooha & Pongsa Pornchaiwisetgul, 2015. "The Effect of Stock, Government Policy, and Monopoly on Asymmetric Price Transmission in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 926-933.
    7. Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2017. "Asymmetric price adjustments: A supply side approach," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 335-360.
    8. Tuan Van Nguyen, 2013. "The stable relationship between crude oil price and petrol price: Evidence from multivariate GARCH model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(2), pages 27-40., June.
    9. Yufeng Chen & Guobin Huang & Lihua Ma, 2017. "Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices," Sustainability, MDPI, Open Access Journal, vol. 9(3), pages 1-19, March.
    10. Polemis, Michael L. & Fotis, Panagiotis N., 2013. "Do gasoline prices respond asymmetrically in the euro zone area? Evidence from cointegrated panel data analysis," Energy Policy, Elsevier, vol. 56(C), pages 425-433.
    11. repec:ucp:jaerec:doi:10.1086/692071 is not listed on IDEAS
    12. Serra, Teresa & Gil, José M., 2012. "Biodiesel as a motor fuel price stabilization mechanism," Energy Policy, Elsevier, vol. 50(C), pages 689-698.
    13. Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2017. "Asymmetric price adjustments: A supply side approach," Working Papers 2072/306511, Universitat Rovira i Virgili, Department of Economics.
    14. Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
    15. Zhang, Tao & Ma, Guofeng & Liu, Guangsheng, 2015. "Nonlinear joint dynamics between prices of crude oil and refined products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 444-456.
    16. Michael Fung, 2014. "Ocean Carriers’ Collusion Under Antitrust Immunity: Evidence of Asymmetric Pass-Through," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 45(1), pages 59-77, August.
    17. repec:eee:juipol:v:45:y:2017:i:c:p:76-83 is not listed on IDEAS
    18. Liu, Li & Ma, Guofeng, 2014. "Cross-correlation between crude oil and refined product prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 284-293.
    19. Chou, Kuo-Wei & Tseng, Yi-Heng, 2016. "Oil prices, exchange rate, and the price asymmetry in the Taiwanese retail gasoline market," Economic Modelling, Elsevier, vol. 52(PB), pages 733-741.
    20. Christopher R. Knittel & Ben S. Meiselman & James H. Stock, 2017. "The Pass-Through of RIN Prices to Wholesale and Retail Fuels under the Renewable Fuel Standard," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 4(4), pages 1081-1119.

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