Are US gasoline price responses asymmetric? Another look

Hamid Baghestani and Ismail Genc

International Journal of Global Energy Issues, 2018, vol. 41, issue 1/2/3/4, 198-203

Abstract: This study examines the possible 'rockets and feathers' effect by focusing on daily spot gasoline and crude oil prices. Our test results for 1986-2017 reveal a significant directional association between gasoline and crude oil prices; the proportion of days in which crude oil and gasoline prices move in the same direction is 0.75, and the proportion of days in which crude oil and gasoline prices both rise (fall) is 0.74 (0.76). Further findings reveal no evidence in favour of asymmetry in gasoline prices, as gasoline prices rise more than crude oil prices by an average of 0.20% but also fall more than crude oil prices by a similar average of 0.18%. These conclusions remain unaltered for two approximately equal sub-periods of 1986-2002 and 2002-2017 which are characterised, respectively, by relatively low and high crude oil and gasoline prices.

Keywords: energy prices; asymmetric behaviour; directional association; data frequency; model specification. (search for similar items in EconPapers)
Date: 2018
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