Asymmetries, outliers and structural stability in the US gasoline market

Bagnai, Alberto; Ospina, Christian Alexander Mongeau

doi:10.1016/j.eneco.2017.11.014

Cited by 27 publications

(5 citation statements)

References 33 publications

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“…13 By construction, these earlier approaches compare the value of the first-differenced variable (here ∆s t ) with a threshold and directly use that comparison to define the partial sum processes. However, the discussion above suggests that in the 12 For instance, to capture the potential asymmetries occurring during expansionary or contractionary periods of the business cycle or to model the effect of positive and negative financial news 13 See, e.g., Greenwood-Nimmo et al (2011), Pal and Mitra (2015), Bagnai et al (2018).…”

Section: Threshold Ardl Modelmentioning

confidence: 99%

How are Day-ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas? Evidence from France

Thomas¹,

Massol²,

Sévi³

2022

The Energy Journal

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The purpose of this paper is to investigate whether the next day's consumption of natural gas can be accurately forecast using a simple model that solely incorporates the information contained in dayahead market data. Hence, unlike standard models that use a number of meteorological variables, we only consider two predictors: the price of natural gas and the spark ratio measuring the relative price of electricity to gas. We develop a suitable modeling approach that captures the essential features of daily gas consumption and in particular the nonlinearities resulting from power dispatching. We use the case of France as an application as this is, as far as is known, the very first attempt to model and predict the country's daily gas demand. Our results document the existence of a long-run relation between demand and spot prices and provide estimates of the own-and cross-price elasticities. We also provide evidence of the pivotal role of the spark ratio which is found to have an asymmetric and highly nonlinear impact on demand variations. Lastly, we show that our simple model is sufficient to generate predictions that are considerably more accurate than the forecasts published by infrastructure operators.

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Section: Threshold Ardl Modelmentioning

confidence: 99%

How are Day-ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas? Evidence from France

Thomas¹,

Massol²,

Sévi³

2022

The Energy Journal

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“…In more recent years, some researchers have chosen to pursue methodologies outside of the traditional ECM framework. Bagnai and Ospina [15] used a nonlinear cointegration methodology and monthly data to assess more than three decades of the crude oil to gasoline price pass-through relationship in the United States. Some advantages of this approach mentioned by the authors include the ability to assess asymmetry effects with respect to the presence of data outliers and the detection of structural breaks in the pricing relationships when the timing is not previously known.…”

Section: Literaturementioning

confidence: 99%

Comparing Price Transmissions between a High Blend Ethanol Fuel and a Conventional Fuel: An Application of Seemingly Unrelated Regressions

Parrott

2023

Sustainability

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This study compares how crude oil and ethanol price changes are passed through to the wholesale prices of a conventional fuel (E10), which contains 10% ethanol, and a high-blend ethanol fuel (E85), which contains 51% to 83% ethanol. Daily observations from October 2017 to June 2019 were obtained from a large market in the United States that provided wholesale fuel prices and ethanol prices. The Error Correction Model (ECM) was applied to each fuel specification using Seemingly Unrelated Regressions (SURs) in order to improve the efficiency of the estimates. Comparable to prior research, the long-run pass-through coefficient for E10 with respect to crude oil was 1.13. In contrast, the E85 long-run pass-through coefficient with respect to crude oil was 0.74. Estimates for the short-run analysis indicated asymmetry in the transmission of crude oil price changes to E10, with crude price increases passing through at greater rates compared to crude price decreases. Symmetry was found in the transmission of ethanol price changes to E85, indicating the same response to rising and falling ethanol costs. Despite the differences in ethanol requirements, the relative prices of crude oil and ethanol are still important for both fuels.

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“…He finds that the retail prices in the diesel market display more asymmetric responses than those in the gasoline market. (Honarvar 2009), (Atil et al 2014), (Bremmer and Kesselring 2016), and (Bagnai and Ospina 2018) are similar studies with a focus on asymmetric price transmission in the energy market.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Price Transmission between Crude Oil and the US Gasoline Market

Kamyabi

Chidmi

2023

JRFM

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Gasoline and crude oil price movements have been the focus of many studies in the last decade. We use the asymmetric error correction model (ERM) to examine the hypothesis of asymmetric pricing for both regular and premium gasoline markets at the US national level and in the four states with the highest gasoline consumption. Using weekly crude oil and retail gasoline prices from June 2000 to February 2023, the results show an asymmetric response in the gasoline market for all four states and at the national level. However, the adjustment speed tends to differ for the types of gasoline and across states. The implications of these results for policy and welfare are discussed in this study.

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Asymmetries, outliers and structural stability in the US gasoline market

Cited by 27 publications

References 33 publications

How are Day-ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas? Evidence from France

How are Day-ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas? Evidence from France

Comparing Price Transmissions between a High Blend Ethanol Fuel and a Conventional Fuel: An Application of Seemingly Unrelated Regressions

Asymmetric Price Transmission between Crude Oil and the US Gasoline Market

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