A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices

A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices

This study provides new supportive evidence for asymmetric adjustment in U.S. retail gasoline prices. The asymmetric transmission is found to occur not just through the spot markets of crude oil and refinery gasoline but also through their future markets. Further evidence also shows that the observe...

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Veröffentlicht in:Economics letters 2005-11, Vol.89 (2), p.233-239
Hauptverfasser: Chen, Li-Hsueh, Finney, Miles, Lai, Kon S.
Format: Artikel
Sprache:eng
Schlagworte:
Asymmetric adjustment
Cointegration
Crude oil
Data analysis
Econometrics
Empirical tests
Energy market
Gas
Oil price
Price level
Spot gasoline price
Threshold cointegration
Transmission mechanism
U.S.A
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Zusammenfassung:This study provides new supportive evidence for asymmetric adjustment in U.S. retail gasoline prices. The asymmetric transmission is found to occur not just through the spot markets of crude oil and refinery gasoline but also through their future markets. Further evidence also shows that the observed asymmetry in price transmission primarily occurs downstream – not upstream – of the transmission process.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2005.05.037