Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach
Stavros Malkidis and
Stilianos Fountas ()
The Journal of Economic Asymmetries, 2020, vol. 22, issue C
In Greece, there is a widespread belief among consumers that fuel prices in the domestic market respond faster to crude oil price increases than decreases and they attribute this pricing pattern to exploitation of market power on behalf of the companies. This article attempts to investigate the issue of asymmetries in a two-stage price-adjusting mechanism able to identify the source of price asymmetries, either in the refining or in the distribution stage. The sample consists of daily data covering the period of January 2012 to November 2018 and has been split into two subsamples due to a structural break in October 2014. Employing threshold and momentum models of cointegration at the two stages linking crude oil to retail prices, we find that transmission is mostly symmetric for unleaded95 gasoline between 2012 and 2014 and asymmetric in the stage of refining for diesel. Between 2014 and 2018 asymmetry exists for both types of fuel in the refining stage, while the retail market presents symmetric pricing.
Keywords: Asymmetry; Rockets and feathers; Error-correction models; Threshold cointegration; Fuel price (search for similar items in EconPapers)
JEL-codes: C32 L11 Q40 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Liquid fuel price adjustment in Greece:a two-stage, threshold cointegration approach (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300189
Access Statistics for this article
The Journal of Economic Asymmetries is currently edited by A.G. Malliaris
More articles in The Journal of Economic Asymmetries from Elsevier
Bibliographic data for series maintained by Catherine Liu ().