IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v26y2019i21p1802-1806.html
   My bibliography  Save this article

Asymmetric gasoline-oil price nexus: recent evidence from non-linear cointegration investigation

Author

Listed:
  • Khalid M. Kisswani

Abstract

In this paper, weekly data from June 1986 to October 2018 is used to investigate the asymmetric relationship between oil prices (WTI Spot Price) and gasoline prices (New York Harbor Conventional Gasoline Regular Spot Price). The novel non-linear Autoregressive Distributed Lags (NARDL) approach of cointegration was adopted to examine the asymmetric association. The empirical results support long- and short-run asymmetry. Furthermore, the direction of causality between oil and gasoline prices is examined using the Toda and Yamamoto non-causality test. The results show bidirectional causality between oil prices (positive and negative innovations) and gasoline prices.

Suggested Citation

  • Khalid M. Kisswani, 2019. "Asymmetric gasoline-oil price nexus: recent evidence from non-linear cointegration investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 26(21), pages 1802-1806, December.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:21:p:1802-1806
    DOI: 10.1080/13504851.2019.1602701
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2019.1602701
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2019.1602701?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022. "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, vol. 28(C).
    2. Albulescu, Claudiu Tiberiu & Mutascu, Mihai Ioan, 2021. "Fuel price co-movements among France, Germany and Italy: A time-frequency investigation," Energy, Elsevier, vol. 225(C).
    3. Khalid M. Kisswani & Saleheen Khan, 2023. "Immigration and GDP nexus: is the association asymmetric?," Economic Change and Restructuring, Springer, vol. 56(1), pages 215-236, February.
    4. Kisswani, Khalid M., 2021. "(A)symmetric time-varying effects of uncertainty fluctuations on oil price volatility: A nonlinear ARDL investigation," Resources Policy, Elsevier, vol. 73(C).
    5. Kisswani, Khalid M. & Elian, Mohammad I., 2021. "Analyzing the (a)symmetric impacts of oil price, economic policy uncertainty, and global geopolitical risk on exchange rate," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:26:y:2019:i:21:p:1802-1806. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.