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“Asymmetric asymmetries” in Eurozone markets gasoline pricing

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  • Bagnai, Alberto
  • Mongeau Ospina, Christian Alexander

Abstract

Building on the well-established “rockets and feathers” literature and on the recently developed nonlinear autoregressive distributed lag (NARDL) modelling, we investigate the asymmetries in gasoline pricing in a comprehensive sample of monthly data from twelve Eurozone countries from 1999:1 to 2015:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display positive asymmetry (i.e., depreciations have a greater effect than appreciations), crude price variations induce negative asymmetry (i.e., reductions in the price of crude oil have a greater effect than price rises). Secondly, the positive asymmetry to exchange rate changes is stronger in core Eurozone countries. The negative asymmetry with respect to crude oil prices confirms the results of recent empirical research and theoretical models. The different behavior between Eurozone core and periphery provides further insights into the nature of pricing asymmetries.

Suggested Citation

  • Bagnai, Alberto & Mongeau Ospina, Christian Alexander, 2016. "“Asymmetric asymmetries” in Eurozone markets gasoline pricing," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 89-99.
    • Handle: RePEc:eee:joecas:v:13:y:2016:i:c:p:89-99
    DOI: 10.1016/j.jeca.2016.03.004
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    Cited by:

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    4. Malkidis, Stavros & Fountas, Stilianos, 2020. "Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).

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    More about this item

    Keywords

    Asymmetric cointegration; Asymmetric price adjustment; Pass-through; Gasoline price; European gasoline market; Signaling;
    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
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • 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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