Polemis, Michail and Fotis, Panagiotis (2011): Gasoline price asymmetries in the Euro Zone.
Download (78kB) | Preview
This paper uses the generalized method of moments (GMM) estimation to a panel data error correction model (ECM) in order to measure the asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail gasoline price respectively. For this purpose, we use an updated data set of weekly observations covering the period from January 2000 to February 2011 for eleven euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain). The results favor the common perception that retail and wholesale gasoline prices respond asymmetrically to cost increases and decreases.
|Item Type:||MPRA Paper|
|Original Title:||Gasoline price asymmetries in the Euro Zone|
|Keywords:||Generalized method of moments; panel data; asymmetries; euro zone; error correction models|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
L - Industrial Organization > L1 - Market Structure, Firm Strategy, and Market Performance > L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models
|Depositing User:||MICHAIL POLEMIS|
|Date Deposited:||12. Aug 2011 15:45|
|Last Modified:||30. Dec 2015 20:27|
Arellano, M. and Bond, S. (1991) Some tests of specication for panel data: Monte carlo evidence and an application to employment equations, Review of Economic Studies, 58, 277-297.
Asplund M, Erikson R, Friberg R (2000) Price adjustments by a retail gasoline chain. Scandinavian Journal of Economics, 102: 101-121.
Galeotti M, Lanza A, Manera M (2003) Rockets and feathers revisited: An international comparison on european gasoline markets. Energy Economics, 25: 175-190.
Grosso M, Manera M (2007) Asymmetric error correction models for the oil-gasoline price relationship. Energy Policy 35 (1), 156-177.
Hadri, K. (2000) Testing for stationarity in heterogeneous panel data, Econometric Journal, 3, 148–61.
Hansen, L. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, (3): 1029-1054.
Im, K. S., Pesaran, M. H. and Shin, Y. (2003) Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53–74.
Johansen, S., (1992) Cointegration in partial systems and the efficiency of single-equation analysis. Journal of Econometrics, 52, 389– 402.
Kao, C. (1999) Spurious regression and residual-based tests for cointegration in panel data, Journal of Econometrics, 90, 1–44.
Levin, A., Lin, C. F. and Chu, C. (2002) Unit root tests in panel data: asymptotic and finite-sample properties, Journal of Econometrics, 108, 1–24.
Maddala, G. S. and Wu, S. (1999) A comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economics and Statistics, 61, 631–52.
Pedroni, P. (1999) Critical Values for cointegration tests in heterogeneous panels with multiple regressors, Oxford Bulletin of Economics and Statistics, 61, 653–70.
Wooldridge, J. 2002. Econometric analysis of cross section and panel data. The M.I.T Press.