Long- and short-run price asymmetries in the Italian energy market: the case of gasoline and heating gasoil

Alberto Bagnai and Christian Alexander Mongeau Ospina

No 1407, a/ Working Papers Series from Italian Association for the Study of Economic Asymmetries, Rome (Italy)

Abstract: Using monthly data from 1994 to 2012 we study the long-run relation between the pre-tax retail prices of petrol and heating gasoil with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities. The estimation results confirm the presence of a strong asymmetry in the long-run elasticities.

Keywords: energy prices; asymmetric cointegration. (search for similar items in EconPapers)
JEL-codes: C53 F32 H62 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2014-12
New Economics Papers: this item is included in nep-ene and nep-reg
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