Wlazlowski, Szymon (2001): Petrol and Crude Oil Prices: Asymmetric Price Transmission. Published in: Ekonomia , Vol. 11, (2003): pp. 1-25.
Download (3968Kb) | Preview
This paper examines the relationship between crude oil prices, the dollar-pound exchange rate and petrol prices in the UK over the period 1982-2001. Quantitative methods were used to examine the existence of the long-run equilibrium and test for the presence of asymmetric patterns in the short-run responses to upstream price changes. Also the degree of asymmetry in the adjustment towards long-run equilibrium was analysed. Results confirm that short-run response is greater for increases in upstream prices and that the long-run equilibrium is reached faster after increase in upstream prices. Thus the opinion held by drivers in the UK is confirmed. Detailed analysis confirmed close relationship between the asymmetry and the size and change in the market margin.
|Item Type:||MPRA Paper|
|Original Title:||Petrol and Crude Oil Prices: Asymmetric Price Transmission|
|Keywords:||Asymmetric Price Transmission; rockets and feathers; nonlinearity; price tranmission|
|Subjects:||D - Microeconomics > D4 - Market Structure and Pricing > D40 - General
D - Microeconomics > D4 - Market Structure and Pricing > D49 - Other
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q40 - General
|Depositing User:||Szymon Wlazlowski|
|Date Deposited:||16. Jan 2007|
|Last Modified:||11. Feb 2013 18:58|
Abdulai, A. 2002, Using Threshold Cointegration to Estimate asymmetric Price Transmission in the Swiss Pork Market, Applied Economics, No.34, 679-687; Balke, S.N. , Fomby, T.B, 1997, Threshold Cointegration, International Economic Review, Vol 38, No.3, 627-645; Balke, S.N, Brown, S.P.A, Yücel, M.K., 1998, Crude oil and Gasoline Prices: An Assymetric Relationship?, Federal Reserve Bank of Dallas Economic Review, No.1, 2-11; Benabou R., Gertner, R., 1993, Search with Learning from Prices: Does Increased Inflationary Uncertainty Lead to Higher Markups?, Review of Economic Studies 60 (1), 69-94; Bleaney, M. F., 1998, Exchange Rate Forecast at long Horizons: Are Error-Correction Models Superior, Canadian Journal of Economics, Vol. 31, No.4; Blinder, A., 1982, Inventories and Sticky Prices: More on the Microfoundations of Macroeconomics, American Economic Review, 72 334-348; Borenstein, S., Cameron, A.C., Gilbert, R., 1997, Do Gasoline Prices Respond Asymmetrically to Crude Oil Changes, Quarterly Journal of Economics, 112 Spring 1997, 305-339; Borenstein, S., Shephard A., 1996, Dynamic Pricing in Retail Gasoline Markets, Rand Journal of Economics, 27, 429-451; Brown, S.P.A, Yucel, M.K., 2000, Gasoline and Crude Oil prices: Why the Asymmetry, Economic and Financial Review, 3Q 2000, 1-11; Chan, K.S, 1993, Consistency and Limiting Distribution of the Least Squares estimation of the TAR model, The Annals of Statistics, no.21, 520-553; Cook, S., 1999, Nonsymmetric Error Correction Revisited, Applied Economics Letters, No.6, 467-470; Cook, S., Holly, S. Turner, P., 1999, DHSY Revisited: the Role of Asymmetries, Applied Economics, No.31, 775-778; Cramon-Taubadel Von, S., Meyer, J., 2001. Asymmetric Price Transmission: Fact or Artefact; Working Paper, University Göttingen, http://www.jochenmeyer.de/paper.htm (28 Jul. 02); Godby, R. Lintner, A.M., Stengos, T., Wandschneider, B., 2002 Testing for Asymmetric Pricing in the Canadian Retail Gasoline Market, Energy economics No.22, 349-368; Eckert, E., 2002, Retail Prices cycles and response asymmetry, Canadian Journal of Economics, Vol.35, No.1, 52-77; EIA Monthly Energy Review, 2002, http://www.eia.doe.gov/emeu/mer/prices.html (28 Jul. 02); Enders, W., Granger, C.W.J., 1998, Unit-root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates, Journal of Business and Economic Statistic, No.16, 53-77; Enders, W., Siklos, P.L., 1999, Cointegration and Threshold Adjustment, University of San Diego, California, www.crde.umontreal.ca/cesg/Siklos.pdf (28 Jul. 02); Engle, R.F., Granger, C.W.J., 1987, Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, Vol 55, No.2, 251-276; Galeotti, M., Lanza, A., Manera, M., 2002, Rockets and Feathers Revisited: An International Comparison on European Gasoline Markets, Fundazione Eni Enricon Mattei, http://www.feem.it/web/activ/_acti.html (28 Jul. 02); Green, E., Porter, R., 1984, Noncooperative Collusion under Imperfect Price Information, Econometrica 52, 87-100; Harris, R., Silverstone, B., 1999, Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun’s Law, University of Portsmouth, http://www.dur.ac.uk/richard.harris (28 Jul. 02); Indejehagopian, J. P., Simon, F. L., 2000, Dynamics of Heating Oil Market Prices in Europe, Energy Economics, No.22, 225-252; Institute of Petroleum (2002), IP Statistics 14, Insitute of Petroleum, London; Karrenbrock, J.D., 1991, The Behaviour of Retail Gasoline Prices: Symmetric or Not ?, Federal Reserve Bank of S.T. Louis, July/August 1991,19-29; Kühn, K.-U. (2000), “Fighting Collusion by Regulating Communication between Firms”, Univeristy of Michigan Mimeo; Maddala, G.S., Kim, I., 1998, Unit Roots, Cointegration and Structural Change, Cambridge University Press, Cambridge; Manning, D.N., Petrol prices, oil price rises and oil price falls, some evidence for the UK since 1972, Applied Economics, Vol. 23,1535-1541; Monopolies and Mergers Commission, 1990 Report, London, HMSO; Office of Fair Trading OFT, 1998, Competition in the supply of petrol, A report by the Office of Fair trading, http://www.oft.gov.uk/NR/rdonlyres (28 Jul. 02); Peltzman, S., 2000, Prices Rise Faster than they Fall, Journal of Political Economy, Vol 108, No. 3, 466-501; Pipenger, M.K., Goering, G.E., 1993, A Note on the Empirical Power of Unit Root tests under Threshold Processes, Oxfrod Bulletin of Economics and Statistics 55, 473-481; Reilly, B., Witt, R., 1998, Petrol Price Asymmetries Revisited, Energy Economics, No.20, 297-308; Sichel, D.E., 1993, Business Cycle Asymmetry: a Deeper Look, Economic Inquiry 31, 224-235; Smith, Z., 2000, The petrol tax debate, Institute for fiscal studies, http://www.ifs.org.uk (28 Jul. 02); Sumner, M., 1991, Asymmetries in Petrol Pricing, University of Sussex, Mimeo. Tong, H., 1990, Non-linear Time Series: a Dynamical Approach, Oxford University Press, Oxford; Tsay, R. S., 1998, Testing and Modelling Threshold Autoregressive Processes, Journal of the American Statistical Association, Vol. 84, No. 405,231-241; Williamson, K., Taylor, L., 2000, Recent Developments in Road Transport Fuels, Oil and Gas Statistics Team, http://www.dti.gov.uk/epa/bpsep00.pdf (28 Jul. 02);