Do gasoline prices exhibit asymmetry? Not usually!

Christopher C. Douglas

Energy Economics, 2010, vol. 32, issue 4, 918-925

Abstract: Previous studies have found evidence of asymmetric price adjustment in U.S. retail gasoline prices in that gasoline prices rise more rapidly in response to a cost increase than fall in response to a cost decrease. By estimating a threshold cointegration model that allows for multiple regimes, I am able to test how sensitive this result is to outlying observations. In contrast to previous studies, I find little evidence of asymmetry for the vast majority of observations and that the asymmetry is being driven by a small number of outlying observations.

Keywords: Gasoline; prices; Asymmetric; price; adjustment; Threshold; cointegration (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (40)

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