RT Journal Article
T1 Evidence about asymmetric price transmission in the main European fuel markets: from TAR-ECM to Markov-switching approach
A1 Martín Moreno, José María
A1 Pérez Sánchez, Rafaela
A1 Ruiz, Jesús
K1 5312 Economía Sectorial
AB This paper presents new evidence on the existence of asymmetries in the transmission of shocks in oil prices in the main European fuel markets and their relation to the so-called rockets and feathers effect. Our approach differs from the existing literature in two ways: (1) the data used: we use forward prices rather than spot prices because fuel leaders use forward contracts to buy crude oil. (2) The methodological approach is different. We adopt a more sophisticated econometric model, the Markov-switching model, and use it to contrast the robustness of the results obtained with the TAR-ECM methodology with an endogenous threshold (nonzero threshold). In general, the results show evidence of an asymmetric response of gasoline and diesel prices to changes in the price of crude oil, both in the short-run and with respect to the adjustment towards long-run equilibrium. These price asymmetries fall in line with the “rockets and feathers” hypothesis.
PB Empirical Economics
SN 03777332
YR 2019
FD 2019
LK http://hdl.handle.net/11093/5938
UL http://hdl.handle.net/11093/5938
LA eng
NO Empirical Economics, 56(4): 1383-1412 (2019)
NO Ministerio de Economía y Competitividad | Ref. ECO2015-67305-P
DS Investigo
RD 18-sep-2024