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Oil, Uncertainty, and Gasoline Prices

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  • Dongfeng Chang
  • Apostolos Serletis

    (University of Calgary)

Abstract

In this paper we investigate the relationship between crude oil and gasoline prices and also examine the effect of oil price uncertainty on gasoline prices. The empirical model is based on a structural vector autoregression that is modified to accommodate multivariate GARCH-in-Mean errors. We use monthly data for the United States over the period from January 1976 to September 2014. We find that there is an asymmetric relationship between crude oil and gasoline prices, and that oil price uncertainty has a positive effect on gasoline price changes. Our results are robust to alternative model specifications and alternative measures of the price of oil.
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Suggested Citation

  • Dongfeng Chang & Apostolos Serletis, "undated". "Oil, Uncertainty, and Gasoline Prices," Working Papers 2015-02, Department of Economics, University of Calgary, revised 20 Jan 2015.
    • Handle: RePEc:clg:wpaper:2015-02
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    Cited by:

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    2. Kyritsis, Evangelos & Andersson, Jonas, 2019. "Causality in Quantiles and Dynamic Relations in Energy Markets," Working Papers 116, VATT Institute for Economic Research.
    3. Maghyereh, Aktham I. & Sweidan, Osama D., 2020. "Do structural shocks in the crude oil market affect biofuel prices?," International Economics, Elsevier, vol. 164(C), pages 183-193.
    4. Bragoudakis, Zacharias & Degiannakis, Stavros & Filis, George, 2019. "Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?," MPRA Paper 95407, University Library of Munich, Germany.
    5. Kyritsis, Evangelos & Andersson, Jonas, 2019. "Causality in quantiles and dynamic relations in energy markets: (De)tails matter," Energy Policy, Elsevier, vol. 133(C).
    6. Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019. "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, vol. 77(C), pages 66-79.
    7. Hamid Baghestani & Jorg Bley, 2020. "Do directional predictions of US gasoline prices reveal asymmetries?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(2), pages 348-360, April.

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