Do Daily Retail Gasoline Prices adjust Asymmetrically?
Leon Bettendorf (),
Stephanie van der Geest () and
Gerard Kuper ()
Additional contact information
Leon Bettendorf: Faculty of Economics, Erasmus Universiteit Rotterdam
Stephanie van der Geest: Faculty of Economics, Erasmus Universiteit Rotterdam
No 05-040/2, Tinbergen Institute Discussion Papers from Tinbergen Institute
This paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease. We do not find strong evidence for amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices. This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.
Keywords: Asymmetry; Retail gasoline prices; Volatility (search for similar items in EconPapers)
JEL-codes: D43 E31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Journal Article: Do daily retail gasoline prices adjust asymmetrically? (2009)
Working Paper: Do daily retail gasoline prices adjust asymmetrically? (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20050040
Access Statistics for this paper
More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Series data maintained by Tinbergen Office +31 (0)10-4088900 ().