 Pass-through of oil supply shocks to domestic gasoline prices: evidence from daily dataEnergy Economics, 2021, vol. 98, issue C Abstract: Oil prices react to various types of shocks, and their impacts could reach our lives quickly. For example, on one day, we might hear on the radio that OPEC has decided to cut their oil production for the next year, and, only a few days later, find out that our local gasoline station has just raised the price. This paper examines daily data on gasoline prices, produced by a price comparison site in Japan, to estimate how they respond to a shock that hit the world oil market. In doing so, we take seriously the possibility that an increase in oil prices might cause different reactions depending on the source of the change. This paper focuses on one particular type of shock, namely changes in expectations about future supplies of crude oil. Identification is achieved via estimating a version of the Structural VAR with External Instruments (SVAR-IV or proxy-VAR) coupled with High Frequency Identification (HFI). The result confirms that pass-through is indeed very fast: about 70% of the entire adjustment process is completed within just 18 days. Keywords: SVAR-IV (or proxy VAR); High frequency identification; News shock; Oil price; Pass-through (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001195 DOI: 10.1016/j.eneco.2021.105214 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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