Inventories and upstream gasoline price dynamics
Gerard Kuper ()
Energy Economics, 2012, vol. 34, issue 1, 208-214
This paper sheds new light on the asymmetric dynamics in upstream U.S. gasoline prices. The model is based on Pindyck's inventory model of commodity price dynamics. We show that asymmetry in gasoline price dynamics is caused by changes in the net marginal convenience yield: higher costs of marketing and storage lead to rising gasoline prices, whereas a drop in these costs lowers gasoline prices. The former effect is stronger. This indicates asymmetric dynamics. We also analyze the asymmetry across the sample by analyzing recursive and rolling regressions.
Keywords: Asymmetry; Gasoline prices; Inventories; Volatility (search for similar items in EconPapers)
JEL-codes: C22 D43 E31 L11 Q40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:1:p:208-214
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