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Long- and short-run price asymmetries in the Italian energy market: the case of gasoline and heating gasoil

Author

Listed:
  • Alberto Bagnai

    (Department of Economics, Gabriele d'Annunzio University)

  • Christian Alexander Mongeau Ospina

    (Italian Association for the Study of Economic Asymmetries)

Abstract

Using monthly data from 1994 to 2012 we study the long-run relation between the pre-tax retail prices of petrol and heating gasoil 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. The estimation results confirm the presence of a strong asymmetry in the long-run elasticities.

Suggested Citation

  • Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "Long- and short-run price asymmetries in the Italian energy market: the case of gasoline and heating gasoil," a/ Working Papers Series 1407, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
  • Handle: RePEc:ais:wpaper:1407
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    References listed on IDEAS

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    More about this item

    Keywords

    energy prices; asymmetric cointegration.;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus

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