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Long- and short-run price asymmetries and hysteresis in the Italian gasoline market

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  • Bagnai, Alberto
  • Mongeau Ospina, Christian Alexander

Abstract

Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities, as well as the presence of hysteresis in the pricing behaviour. The estimation results confirm the presence of asymmetry in the long-run elasticities, with significant differences between the crude price and the exchange rate, as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price.

Suggested Citation

  • Bagnai, Alberto & Mongeau Ospina, Christian Alexander, 2015. "Long- and short-run price asymmetries and hysteresis in the Italian gasoline market," Energy Policy, Elsevier, vol. 78(C), pages 41-50.
  • Handle: RePEc:eee:enepol:v:78:y:2015:i:c:p:41-50
    DOI: 10.1016/j.enpol.2014.12.017
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. #pirreviù2: Noi siamo peer reviewed (quindi meritiamo il 5 per mille)
      by Alberto Bagnai in Goofynomics on 2015-04-13 12:50:00
    2. Le plan C, ou « Splendeurs et misères de la gauche européenne »
      by Alberto Bagnai in Goofynomics on 2015-11-07 23:07:00

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    More about this item

    Keywords

    Energy prices; Asymmetric cointegration; Asymmetric price adjustment; Exchange rate pass-through; Hysteresis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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