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Testing for short and long-run asymmetric responses and structural breaks in the retail gasoline supply chain

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  • Bumpass, Donald
  • Douglas, Christopher
  • Ginn, Vance
  • Tuttle, M.H.

Abstract

This research examines the short-run and long-run relationship between the retail gasoline price, the spot gasoline price, and the price of West Texas Intermediate (WTI) crude oil along the gasoline supply chain. We find mixed evidence of short-run asymmetry in all stages of the retail gasoline supply chain. We fail to reject long-run symmetry at each stage of the retail gasoline supply chain. Additionally, we find a significant structural break in the crude oil-spot gasoline relationship after October 17, 2005. There is weak evidence of long-run oil price endogeneity after October 17, 2005. This structural change reverses the direction of short-run asymmetry between these two time series after the break. We find no significant structural break in the spot gasoline-retail gasoline relationship.

Suggested Citation

  • Bumpass, Donald & Douglas, Christopher & Ginn, Vance & Tuttle, M.H., 2019. "Testing for short and long-run asymmetric responses and structural breaks in the retail gasoline supply chain," Energy Economics, Elsevier, vol. 83(C), pages 311-318.
    • Handle: RePEc:eee:eneeco:v:83:y:2019:i:c:p:311-318
    DOI: 10.1016/j.eneco.2019.07.021
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    2. Karol Szomolanyi & Martin Lukacik & Adriana Lukacikova, 2022. "Estimation of asymmetric responses of U.S. retail fuel prices to changes in input prices based on a linear exponential adjustment cost approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 757-779, June.
    3. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
    4. Petar Sorić & Mirjana Čižmešija & Marina Matošec, 2020. "EU Consumer Confidence and the New Modesty Hypothesis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 899-921, December.
    5. Fousekis, Panos & Tzaferi, Dimitra, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(02), January.
    6. Fousekis, Panos & Tzaferi, Dimitra, 2018. "Market connectedness in the US beef supply chain," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 0(Issue 1).

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    More about this item

    Keywords

    Gasoline supply chain; Structural break; Asymmetric price adjustment;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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