EconPapers    
Economics at your fingertips  
 

Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

María Torrado and 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)
New Economics Papers: this item is included in nep-com, nep-ene and nep-reg
Date: 2017-07-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://e-archivo.uc3m.es/bitstream/handle/10016/24984/we201707.pdf?sequence=1 (application/pdf)

Related works:
Journal Article: Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market (2018) 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:cte:werepe:24984

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().

 
Page updated 2019-08-07
Handle: RePEc:cte:werepe:24984