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Do daily retail gasoline prices adjust asymmetrically?

  • Bettendorf, Leon
  • Geest, Stephanie van der
  • Kuper, Gerard

    (Groningen University)

This paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease. We do not find evidence for amount asymmetry, either for the long run or for the short run. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices. This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.

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File URL: http://irs.ub.rug.nl/ppn/277350778
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Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200503.

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Date of creation: 2005
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Handle: RePEc:dgr:rugccs:200503
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