Testing for price response asymmetries in the Spanish fuel market. New evidence from daily data

Jacint Balaguer and Jordi Ripollés

Energy Economics, 2012, vol. 34, issue 6, 2066-2071

Abstract: In this work we use daily data to examine pattern asymmetries in the speed of transmission of international wholesale oil prices to Spanish retail fuel prices. Results are robust to two alternative specifications of an asymmetric error correction model, for which the presence of autoregressive conditional heteroskedasticity for disturbances is modeled by a GARCH(1,1) process. Evidence indicates that the short-term transmission of wholesale prices to retail prices is quite symmetric for both gasoline and diesel fuel. Nevertheless, in contrast to some of the results provided for an earlier period, we did not find asymmetries in the speed of retail price responses toward long-run equilibrium. Our evidence also suggests that the use of weekly (or lower frequency) data is one of the possible explanations for some of the seemingly contradictory results concerning this issue.

Keywords: Price transmission; Asymmetry; Daily data; Fuel products (search for similar items in EconPapers)
JEL-codes: D43 L71 Q40 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:34:y:2012:i:6:p:2066-2071

DOI: 10.1016/j.eneco.2012.02.013

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