Asymmetric price transmission in the US and German fuel markets: a quantile autoregression approach

Karsten Schweikert ()
Additional contact information
Karsten Schweikert: University of Hohenheim

Empirical Economics, 2019, vol. 56, issue 3, No 12, 1095 pages

Abstract: Abstract This paper proposes a new econometric model for asymmetric price transmissions. We estimate long-run equilibrium equations between upstream and downstream prices and use quantile autoregression to estimate a quantile-dependent adjustment behaviour for lower and upper quantiles of the residual process. We develop a bootstrap cointegration test which is suitable for cointegration relationships that exhibit quantile-dependent adjustment. Furthermore, we introduce the appropriate statistical tests for across-quantile comparisons and overall quantile effects. The methodology is applied to the US and German gasoline and diesel markets. Our empirical results suggest that asymmetries can be found in the early stages of the production chain, but are not completely transferred to retail prices.

Keywords: Asymmetric price transmission; Cointegration; Quantile autoregression; Gasoline; Diesel; Crude oil (search for similar items in EconPapers)
JEL-codes: C22 D40 Q40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-017-1376-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:56:y:2019:i:3:d:10.1007_s00181-017-1376-5

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-017-1376-5

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().