Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

María Torrado
Authors registered in the RePEc Author Service: Alvaro Escribano

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: Over the last decades a transition from a state-own monopoly to a private business took placein the Spanish fuel sector. To figure out whether downstream prices react differently toupstream price increases than to price decreases, alternative dynamic nonlinear andasymmetric error correction models are applied to weekly price data. This paper analyse theexistence of price asymmetries in the fuel market in Spain during the 2011-2016 period. Incomparison with traditional asymmetric price theory literature, this paper introduces a newdouble threshold error correction (ECM) model (DT-ECM) and new double logistic ECMmodels and compares them with more common linear ECM, time varying parameter models(TV-ECM), threshold autoregressive models (T-ECM), smooth transition autoregressive(STAR) models and nonlinear error correction (Logistic-ECM) and double threshold Logistic(DT-Logistic ECM). The nonlinear and asymmetric results found show that sophisticatedbivariate long-run asymmetries are present in the prices of the fuel sector and that those pricereactions depend on whether the oil price increases or decreases, on the stage of theproduction, the distribution chain as well as on the period considered.

Keywords: Gasoline; Price; Asymmetries; Threshold-ECM; models; Double-Threshold-ECM; models; Logistic-STAR; Models; Nonlinear; Error; Correction; Models; Rockets; and; Feathers (search for similar items in EconPapers)
JEL-codes: B23 C24 C52 D43 L13 L71 (search for similar items in EconPapers)
Date: 2017-07-01
New Economics Papers: this item is included in nep-com, nep-ene and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:24984

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