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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

Abstract: 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)
Date: 2005-04-22
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Related works:
Journal Article: Do daily retail gasoline prices adjust asymmetrically? (2009) Downloads
Working Paper: Do daily retail gasoline prices adjust asymmetrically? (2005) Downloads
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