Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling

Yuying Sun, Xun Zhang, Yongmiao Hong and Shouyang Wang

Energy Economics, 2019, vol. 78, issue C, 165-173

Abstract: Modelling and analyzing the pass-through of crude oil prices to retail gasoline prices has received an increasing attention in existing literature. However, most of the ongoing efforts focus on point-valued data, which may suffer from the informational loss. This paper first employs the threshold autoregressive interval-valued (TARI) models developed recently by Sun et al. (2018a) to investigate this transmission, and proposes a novel consistent interval-based test to detect threshold effects, and derives its asymptotic properties. These interval-based TARI model and test, superior to traditional point-based methods, can produce more efficient parameter estimation and more powerful inference due to the informational gain of interval data. That is, interval data simultaneously contain more information (e.g., trend and volatility) than point-valued data during the same period. Empirical results suggest that retail gasoline prices are adjusted upwards faster than downwards, and this short-run asymmetry is statistically significant during the whole sample. Our findings reveal that both the level and volatility of oil prices have a positive impact on the price of gasoline, which contributes to the asymmetries in the transmission of oil price shocks. These results are robust before and after financial crisis. Furthermore, it is interesting to find that after financial crisis, both the error correction adjustment speeds and the asymmetries decrease.

Keywords: Asymmetry; Crude oil prices; Gasoline prices; Threshold autoregressive interval-valued regression; Volatility (search for similar items in EconPapers)
JEL-codes: C12 C32 Q02 Q49 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988318304298
Full text for ScienceDirect subscribers only

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:eee:eneeco:v:78:y:2019:i:c:p:165-173

DOI: 10.1016/j.eneco.2018.10.027

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().