Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data

Balaguer, Jacint; Ripollés, Jordi

doi:10.1016/j.eneco.2012.02.013

Cited by 30 publications

(13 citation statements)

References 28 publications

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“…where j is the maximum lags number for the changes in international oil prices which still affect China's wholesale prices, and u t denotes the error term at time t. Now, we can extend Equation (3) to the case of asymmetric adjustments and obtain an asymmetric error-correction model (AECM), following Galeotti et al [25] and Grasso and Manera [17] and Balaguer and Ripollés [26], by decomposing the short-run dynamics or both the short-run dynamics and the error-correction term into positive and negative values. Therefore, we can obtain the following econometric specifications:…”

Section: Methodsmentioning

confidence: 99%

Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

Chen

Huang

2017

Sustainability

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This paper employs an asymmetric error-correction model (AECM), and uses monthly data on wholesale prices of gasoline and diesel products in China and international crude oil prices from February 2006 to October 2013 to examine whether China's gasoline and diesel prices adjust asymmetrically to international crude oil price changes. Our empirical results suggest that increases and decreases in international oil prices have asymmetric effects on both wholesale prices of gasoline and diesel fuel in China, and that both increases and decreases in international oil prices have a greater effect on diesel prices than on gasoline prices in China. If there is no change in the maximum retail price, the asymmetry results from the transmission of wholesale prices in China with international oil prices. However, if there is a change in maximum retail prices, both international oil prices and maximum retail prices cause the asymmetry.

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Section: Methodsmentioning

confidence: 99%

Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

Chen

Huang

2017

Sustainability

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“…In conclusion, mixed evidence has been found given that Contín‐Pilar et al. (), Balaguer and Ripollés (), Clerides (2010) and Karagiannis et al. () encounter no evidence of asymmetric behavior, while the other three papers do encounter such evidence.…”

Section: Literature Reviewmentioning

confidence: 95%

“…To the best of our knowledge, the main papers that have analyzed the existence of asymmetric price transmission for the Spanish retail fuel market are Galeotti, Lanza, and Manera (), Grasso and Manera (), Polemis et al. (2013), Karagiannis, Panagopoulos, and Vlamis (), Contín‐Pilart, Correljé, and Palacios (), Balaguer and Ripollés (), Bagnai et al. (2016), Clerides (2010) and Venditti ().…”

Section: Literature Reviewmentioning

confidence: 99%

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Rockets and feathers behaviour in the Spanish gasoline and diesel market: New evidence

Martín‐Moreno

Pérez

Ruíz

2019

Bulletin of Econ Res

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In this paper we analyse the potential asymmetric response of retail prices for gasoline and diesel‐fuel to changes in oil prices for the Spanish economy and its relation with the so‐called ‘rockets and feathers’ behaviour. We show that the assumption made by previous studies, which use as the key explanatory variable the sign –positive or negative‐ of the change in international oil prices, is inadequate for the Spanish case and the magnitude of the change in international oil prices is also relevant. For small changes in international oil prices there is neither price asymmetry nor rockets and feathers behavior in the retail markets. However, price asymmetries in line with rockets and feathers behavior in retail gasoline and gasoil markets are present when these changes exceed a certain threshold. Following Martín‐Moreno et al. (2018) we first apply an Auto‐regressive Error Correction Model and endogenously estimate the threshold triggering the rockets and feathers behaviour. A time‐varying nature for the dynamic response of retail prices to oil price shocks is revealed when we estimate the TAR‐ECM model using rolling windows. Hence, in a second stage, we use a Markov‐switching estimation of the model to test the robustness of the results given its suitability to changing environments. This study could have relevant policy implications for the Spanish gasoline and gasoil retail markets due to the ongoing debate on the existence of a rockets and feathers behavior in gasoline and gasoil retail markets between the Spanish regulatory body and the oil companies.

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“…In the UK, Bacon (1991) identifies an asymmetry in the speed of adjustment of retail gasoline prices with respect to the refineries' wholesale prices. The double speed hypothesis is corroborated by Bettendorf et al's (2003) analysis of the Dutch market, while opposite results were observed by Balaguer and Ripollés (2012) in a study on the Spanish gasoline retailers.…”

Section: Literature Review On Fuel Pricing Behaviormentioning

confidence: 83%

The pricing behavior of Italian gas stations: Some evidence from the Cuneo retail fuel market

Alderighi

Baudino

2015

Energy Economics

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Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data

Cited by 30 publications

References 28 publications

Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

Rockets and Feathers: The Asymmetric Effect between China’s Refined Oil Prices and International Crude Oil Prices

Rockets and feathers behaviour in the Spanish gasoline and diesel market: New evidence

The pricing behavior of Italian gas stations: Some evidence from the Cuneo retail fuel market

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