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The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

Erwan Gautier and R. Le Saout

Working papers from Banque de France

Abstract: Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a M-shape as predicted by a menu-cost model. Using a reduced form state-dependent pricing model with time-varying random thresholds, we find that the degree of pass through of wholesale prices to retail gasoline prices is on average 0.77 for diesel and 0.67 for petrol. The duration for a shock to be fully transmitted into prices is about 10 days. There is no significant asymmetry in the transmission of wholesale price to retail prices.

Keywords: price stickiness; menu costs; (S; s) models; gasoline price. (search for similar items in EconPapers)
JEL-codes: D43 E31 L11 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2012
New Economics Papers: this item is included in nep-bec, nep-com, nep-ene, nep-eur, nep-hme and nep-tre
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data (2015) Downloads
Working Paper: The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data (2012) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:375

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