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The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

Listed author(s):
  • Gautier, E.
  • Le Saout, R.

Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a M-shape as predicted by a menu-cost model. Using a reduced form state-dependent pricing model with time-varying random thresholds, we find that the degree of pass through of wholesale prices to retail gasoline prices is on average 0.77 for diesel and 0.67 for petrol. The duration for a shock to be fully transmitted into prices is about 10 days. There is no significant asymmetry in the transmission of wholesale price to retail prices.

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File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_375_2012.pdf
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Paper provided by Banque de France in its series Working papers with number 375.

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Length: 62 pages
Date of creation: 2012
Handle: RePEc:bfr:banfra:375
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Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS

Web page: http://www.banque-france.fr/

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