Econometric Models of Asymmetric Price Transmission

Frey, Giliola; Manera, Matteo

doi:10.1111/j.1467-6419.2007.00507.x

Cited by 271 publications

(178 citation statements)

References 79 publications

Supporting

Mentioning

158

Contrasting

Unclassified

Order By: Relevance

“…In these studies, there is a wide diversification concerning one or more of the following aspects: the country under examination, the time frequency of the period of the data used, the stage of the transmission mechanism (retail or wholesale) and the econometric model employed in the empirical investigation. For a good survey of asymmetric adjustment literature, see Frey and Manera (2007). Table 1 reports the main empirical papers.…”

mentioning

confidence: 99%

Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

Polemis

2011

Empir Econ

View full text Add to dashboard Cite

This article attempts to investigate the issue of asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail price of gasoline respectively. For this purpose, we utilise the error-correction methodology in the Greek gasoline market. The sample consists of monthly data covering the period of January 1988 to June 2006. We also try to analyse by using impulse response functions the effect of competition on the dynamic adjustment of gasoline price to which has been paid scant attention in the past. The results favour the common perception that retail gasoline prices respond asymmetrically to cost increases and decreases both in the long and the short-run. At the wholesale segment, there is a symmetric response of the spot prices of gasoline towards the adjustment to the short-run responses of the exchange rate. Lastly, after the deregulation, wholesale prices of gasoline tend to gradually restore equilibrium triggered by a price shock compared to the regulated period.

show abstract

mentioning

confidence: 99%

Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

Polemis

2011

Empir Econ

View full text Add to dashboard Cite

show abstract

“…Frey and Manera (2007) provide a survey of the empirical literature. Some of these papers focus on gasoline retail markets.…”

Section: Introductionmentioning

confidence: 99%

“…14 These are the standard models in this literature, see, e.g., Bachmeier and Griffin (2003) and Frey and Manera (2007). 15 The spot market price has the highest correlation with the suggested price if I use a two-day lag.…”

mentioning

confidence: 99%

Asymmetric Price Responses of Gasoline Stations: Evidence for Heterogeneity of Retailers

Faber

2009

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract. This paper studies asymmetric price responses of individual firms, via daily retail prices of almost all gasoline stations in the Netherlands and suggested prices of the five largest oil companies over more than two years. I find that 38% of the stations respond asymmetrically to changes in the spot market price. Hence, asymmetric pricing is not a feature of the market as a whole, but of individual firms. For asymmetrically pricing stations, the asymmetry is substantial directly after a change but disappears after one or two days. I study station-specific characteristics and conclude that asymmetric pricing seems to be a phenomenon that is randomly distributed across stations. I also find that none of the five largest oil companies adjust their suggested prices asymmetrically. Terms of use: Documents in

show abstract

“…Among others, Meyer and Cramon-Taubadel (2004), Geweke (2004) and more recently Frey and Manera (2007) provided a comprehensive literature review on this item. A large body of empirical literature has focused on passing-through -symmetrically and asymmetrically -crude oil prices and exchange rates to prices of petroleum products within a multi-national framework (among many others: Reilly and Witt, 1998, Galeotti et al 2003, Wlazlowski, 2007, Wlazlowski et al, 2009.…”

Section: Introductionmentioning

confidence: 99%

Cost Pass-Through of the EU Emissions Allowances: Examining the European Petroleum Markets

Alexeeva-Talebi

2010

SSRN Journal

View full text Add to dashboard Cite

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10086.pdf Non-technical summaryUsing advanced time-series techniques, this paper explores the ability of European refineries to pass-through costs associated with the introduction of the EU Emissions Trading Scheme (ETS). The paper thereby fills, the gap in the literature by analysing the interactions between petrol prices and emissions allowances allocated to the refining industry under the EU ETS at the single country level. The analysis is conducted within a multi-national framework and as comprehensive as the weekly data permits, covering 14 EU member states. Given the nonstationarity of variables and the existence of the long-run relationships between the analysed time series, the application of a vector error correction model (VECM) is appropriate. These econometric techniques allow tracking a price transmission process which is induced by the EU ETS in general and by free allocation of allowances in particular while accounting for short-run and long-run dynamics. Our econometric analysis shows that refineries were capable to pass-through prices of EUAs to consumers during the first trading period [2005][2006][2007]. It also discloses the heterogeneity across the EU member states in long-and short-run responses of petrol prices to movements of EUA prices. We run two alternative specifications of the VECM at the country level to check the robustness of the results. Our central finding questions the policy outcome in which emissions from the refining sector will be largely benefiting from free allocation of allowances from 2013 onwards, whereas the power sector falls fully under the auctioning regime. This measure has been introduced to minimise the undesirable distribution impacts that resulted from handing out free permits to the power sector in the "warm-up phase". This paper shows that adverse distributional impacts were also present over the same time horizon in the refining sector. Abstract: This paper explores the ability of European refineries to pass-through costs associated with the introduction of the EU Emissions Trading Scheme (EU ETS). We estimated a sequence of vector error correction models (VECM) within a multi-national setting which covers 14 EU member states. Using weekly data at the country level, this paper finds a significant influence of prices for European Union Allowances (EUAs) on unleaded petrol retail prices during the trial phase of the EU ET...

show abstract

Econometric Models of Asymmetric Price Transmission

Cited by 271 publications

References 79 publications

Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

Asymmetric Price Responses of Gasoline Stations: Evidence for Heterogeneity of Retailers

Cost Pass-Through of the EU Emissions Allowances: Examining the European Petroleum Markets

Contact Info

Product

Resources

About