EconPapers    
Economics at your fingertips  
 

Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market

Yuliya Lovcha () and Alejandro Perez-Laborda

Empirical Economics, 2017, vol. 53, issue 2, No 2, 405-422

Abstract: Abstract A structural multivariate long memory model of the US gasoline market is employed to disentangle structural shocks and to estimate the own-price elasticity of gasoline demand. Our main empirical findings are: (1) there is strong evidence of nonstationarity and mean reversion in the real price of gasoline and in gasoline consumption; (2) accounting for the degree of persistence present in the data is essential to assess the responses of these two variables to structural shocks; (3) the contributions of the different supply and demand shocks to fluctuations in the gasoline market vary across frequency ranges; and (4) long memory makes available an interesting range of convergent possibilities for gasoline demand elasticities. Our estimates suggest that after a change in prices, consumers undertake a few measures to reduce consumption in the short- and medium-run but are reluctant to implement major changes in their consumption habits.

Keywords: Fractional integration; Persistence; Structural VAR; Variance-frequency decomposition (search for similar items in EconPapers)
JEL-codes: Q41 Q43 C32 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s00181-016-1145-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market (2016) Downloads
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:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1145-x

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-016-1145-x

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2020-08-13
Handle: RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1145-x