Price asymmetries in the European gasoline market
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 on a comprehensive sample of monthly data from twelve Eurozone countries running from 1994:1 to 2014:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display a positive asymmetry (i.e., devaluations have a greater impact with respect to revaluations), crude price variations induce negative asymmetry (i.e., reductions in the price of crude oil have a greater impact than price rises). Secondly, the positive asymmetry to exchange rate changes is much stronger in core Eurozone countries. The negative asymmetry with respect to crude oil prices confirms the results of recent empirical research and theoretical models.
|Date of creation:||Apr 2016|
|Contact details of provider:|| Postal: via Filippo Marchetti 19, I-00199 Roma, Italy|
Web page: http://www.asimmetrie.org
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Venditti, Fabrizio, 2013. "From oil to consumer energy prices: How much asymmetry along the way?," Energy Economics, Elsevier, vol. 40(C), pages 468-473.
- Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014.
"Forecasting the oil–gasoline price relationship: Do asymmetries help?,"
Elsevier, vol. 46(S1), pages 44-56.
- Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014. "Forecasting the oil-gasoline price relationship: should we care about the Rockets and the Feathers?," Working Papers 269, University of Milano-Bicocca, Department of Economics, revised Mar 2014.
- Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014. "Forecasting the Oil-Gasoline Price Relationship: Should We Care About the Rockets and the Feathers?," IEFE Working Papers 62, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
- Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2015. "Forecasting the Oil-Gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Departmental Working Papers 2015-23, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014. "Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Working Papers 2014.21, Fondazione Eni Enrico Mattei.
- Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
- Sam Peltzman, 1998. "Prices Rise Faster Than They Fall," University of Chicago - George G. Stigler Center for Study of Economy and State 142, Chicago - Center for Study of Economy and State.
- Galeotti, Marzio & Lanza, Alessandro & Manera, Matteo, 2003. "Rockets and feathers revisited: an international comparison on European gasoline markets," Energy Economics, Elsevier, vol. 25(2), pages 175-190, March.
- M. Galeotti & A. Lanza & M. Manera, 2001. "Rockets and feathers revisited: an international comparison on European gasoline markets," Working Paper CRENoS 200112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Asane-Otoo, Emmanuel & Schneider, Jan, 2015. "Retail fuel price adjustment in Germany: A threshold cointegration approach," Energy Policy, Elsevier, vol. 78(C), pages 1-10.
- Kaufmann, Robert K. & Laskowski, Cheryl, 2005. "Causes for an asymmetric relation between the price of crude oil and refined petroleum products," Energy Policy, Elsevier, vol. 33(12), pages 1587-1596, August.
- Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas, 2008. "Smooth Transition Models in Price Transmission," Working Paper Series 04_08, The Rimini Centre for Economic Analysis.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- Francisco Silva & Maria Batista & Nelson Elias, 2013. "Fuel price transmission mechanisms in Portugal," Applied Economics Letters, Taylor & Francis Journals, vol. 20(1), pages 72-75, January.
- Contín-Pilart, Ignacio & Correljé, Aad F. & Blanca Palacios, M., 2009. "Competition, regulation, and pricing behaviour in the Spanish retail gasoline market," Energy Policy, Elsevier, vol. 37(1), pages 219-228, January.
- Bettendorf, Leon & van der Geest, Stephanie A. & Varkevisser, Marco, 2003. "Price asymmetry in the Dutch retail gasoline market," Energy Economics, Elsevier, vol. 25(6), pages 669-689, November.
- Grasso, Margherita & Manera, Matteo, 2007. "Asymmetric error correction models for the oil-gasoline price relationship," Energy Policy, Elsevier, vol. 35(1), pages 156-177, January.
- Matteo Manera & Margherita Grasso, 2005. "Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship," Working Papers 2005.75, Fondazione Eni Enrico Mattei.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Kristoufek, Ladislav & Lunackova, Petra, 2015. "Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets," Energy Economics, Elsevier, vol. 49(C), pages 1-8.
- Ladislav Kristoufek & Petra Lunackova, 2014. "Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets," Papers 1407.5466, arXiv.org.
- Ladislav Kristoufek & Petra Lunackova, 2015. "Rockets and Feathers Meet Joseph: Reinvestigating the Oil-gasoline Asymmetry on the International Markets," Working Papers IES 2015/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2015.
- Athanasios Athanasenas & Constantinos Katrakilidis & Emmanouil Trachanas, 2014. "Government spending and revenues in the Greek economy: evidence from nonlinear cointegration," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(2), pages 365-376, May.
- Wlazlowski, Szymon & Giulietti, Monica & Binner, Jane & Milas, Costas, 2009. "Price dynamics in European petroleum markets," Energy Economics, Elsevier, vol. 31(1), pages 99-108, January.
- Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
- Michael L Polemis & Panagiotis N Fotis, 2015. "Rent seeking oligopolistic behaviour in European gasoline markets," Economics Bulletin, AccessEcon, vol. 35(1), pages 827-833.
- Polemis, Michael L. & Fotis, Panagiotis N., 2013. "Do gasoline prices respond asymmetrically in the euro zone area? Evidence from cointegrated panel data analysis," Energy Policy, Elsevier, vol. 56(C), pages 425-433.
- Bermingham, Colin & O’ Brien, Derry, 2010. "Testing for Asymmetric Pricing Behaviour in Irish and UK Petrol and Diesel Markets," Research Technical Papers 3/RT/10, Central Bank of Ireland.
- Bacon, Robert W., 1991. "Rockets and feathers: the asymmetric speed of adjustment of UK retail gasoline prices to cost changes," Energy Economics, Elsevier, vol. 13(3), pages 211-218, July.
- José Manuel Campa & Linda S. Goldberg, 2005. "Exchange Rate Pass-Through into Import Prices," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 679-690, November.
- Campa, José Manuel & Goldberg, Linda S., 2004. "Exchange Rate Pass-Through into Import Prices," CEPR Discussion Papers 4391, C.E.P.R. Discussion Papers.
- Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2015. "Are unleaded gasoline and diesel price adjustments symmetric? A comparison of the four largest EU retail fuel markets," Economic Modelling, Elsevier, vol. 48(C), pages 281-291.
- Olivier Lamotte & Thomas Porcher & Christophe Schalck & Stephan Silvestre, 2013. "Asymmetric gasoline price responses in France," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 457-461, March.
- Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
- Svetlana Fedoseeva & Laura M. Werner, 2016. "How linear is pricing-to-market? Empirical assessment of hysteresis and asymmetry of PTM," Empirical Economics, Springer, vol. 50(3), pages 1065-1090, May.
- Meyler, Aidan, 2009. "The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices," Energy Economics, Elsevier, vol. 31(6), pages 867-881, November.
- Warmedinger, Thomas, 2004. "Import prices and pricing-to-market effects in the euro area," Working Paper Series 299, European Central Bank.
- Andrew Eckert, 2013. "Empirical Studies Of Gasoline Retailing: A Guide To The Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 27(1), pages 140-166, 02.
- Delatte, Anne-Laure & López-Villavicencio, Antonia, 2012. "Asymmetric exchange rate pass-through: Evidence from major countries," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 833-844.
- Anne-Laure Delatte & Antonia Lòpez-Villavicencio, 2012. "Asymmetric exchange rate pass-through: Evidence from major countries," Post-Print hal-00779761, HAL.
- Afshin Honarvar, 2009. "Theoretical explanations for asymmetric relationships between gasoline and crude oil prices with focus on the US market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 33(3-4), pages 205-224, 09.
- Michael Polemis, 2012. "Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market," Empirical Economics, Springer, vol. 43(2), pages 789-817, October.
- Antonio Angelo Romano & Giuseppe Scandurra, 2012. "Price asymmetries and volatility in the Italian gasoline market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 36(2), pages 215-229, 06.
- Atil, Ahmed & Lahiani, Amine & Nguyen, Duc Khuong, 2014. "Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices," Energy Policy, Elsevier, vol. 65(C), pages 567-573.
- Ahmed Atil & Amine Lahiani & Duc Khuong Nguyen, 2014. "Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices," Post-Print halshs-01022598, HAL.
- Katrakilidis, Constantinos & Trachanas, Emmanouil, 2012. "What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration," Economic Modelling, Elsevier, vol. 29(4), pages 1064-1069. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ais:wpaper:1602. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alberto Bagnai)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.