The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

Erwan Gautier and Ronan Le Saout ()
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Ronan Le Saout: ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris

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Abstract: Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a M-shape as predicted by an adjustment cost model. Using a reduced form statedependent pricing model with time-varying random thresholds, we find that the degree of pass through of wholesale prices to retail gasoline prices is on average 0:77 for diesel and 0:67 for petrol. The duration for a shock to be fully transmitted into prices is about 10 days. There is no significant asymmetry in the transmission of wholesale price to retail prices.

Keywords: price stickiness; adjustment costs; (S; s) models; gasoline price (search for similar items in EconPapers)
Date: 2012-09-18
New Economics Papers: this item is included in nep-com, nep-ene, nep-eur and nep-hme
Note: View the original document on HAL open archive server: https://hal.science/hal-00759095v1
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data (2015)
Working Paper: The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00759095

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