Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data
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http://dx.doi.org/10.1016/j.eneco.2012.02.013 |
Metadatos
Título
Testing for price response asymmetries in the Spanish fuel market. New evidence from daily dataFecha de publicación
2012Editor
ElsevierISSN
0140-9883Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S0140988312000412Palabras clave / Materias
Resumen
In this work we use daily data to examine pattern asymmetries in the speed of transmission of international wholesale oil prices to Spanish retail fuel prices. Results are robust to two alternative specifications of ... [+]
In this work we use daily data to examine pattern asymmetries in the speed of transmission of international wholesale oil prices to Spanish retail fuel prices. Results are robust to two alternative specifications of an asymmetric error correction model, for which the presence of autoregressive conditional heteroskedasticity for disturbances is modeled by a GARCH(1,1) process. Evidence indicates that the short-term transmission of wholesale prices to retail prices is quite symmetric for both gasoline and diesel fuel. Nevertheless, in contrast to some of the results provided for an earlier period, we did not find asymmetries in the speed of retail price responses toward long-run equilibrium. Our evidence also suggests that the use of weekly (or lower frequency) data is one of the possible explanations for some of the seemingly contradictory results concerning this issue. [-]
Publicado en
Energy Economics. November 2012, Volume 34, Issue 6Derechos de acceso
Copyright © 2012 Elsevier B.V. All rights reserved
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