Econometric Models of Asymmetric Price Transmission

Matteo Manera () and Giliola Frey
Additional contact information
Giliola Frey: Fondazione Eni Enrico Mattei

No 2005.100, Working Papers from Fondazione Eni Enrico Mattei

Abstract: In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Third, each empirical study is critically discussed in the light of this new classification of asymmetries. Fourth, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models.

Keywords: Price asymmetries; Cointegration; Partial adjustment; Threshold regime switching (search for similar items in EconPapers)
JEL-codes: C22 D40 Q40 (search for similar items in EconPapers)
Date: 2005-09
New Economics Papers: this item is included in nep-ets
References: View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://feem-media.s3.eu-central-1.amazonaws.com/w ... oads/NDL2005-100.pdf (application/pdf)

Related works:
Journal Article: ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION (2007)
Working Paper: Econometric Models of Asymmetric Price Transmission (2005)
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:fem:femwpa:2005.100

Access Statistics for this paper

More papers in Working Papers from Fondazione Eni Enrico Mattei Contact information at EDIRC.
Bibliographic data for series maintained by Alberto Prina Cerai ( this e-mail address is bad, please contact ).