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

  • Erwan Gautier


    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - UN - Université de Nantes)

  • Ronan Le Saout


    (ENSAE - École Nationale de la Statistique et de l'Administration Économique - ENSAE ParisTech)

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 an adjustment cost model. Using a reduced form statedependent 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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Paper provided by HAL in its series Working Papers with number hal-00759095.

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Date of creation: 18 Sep 2012
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Handle: RePEc:hal:wpaper:hal-00759095
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