Time lags in the pass-through of crude-oil prices: Big data evidence from the German gasoline market

Manuel Frondel, Colin Vance and Alex Kihm

No 573, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: This note investigates the pass-through of global Brent oil notations to fuel prices across the oligopoly of retail majors in Germany. We assemble a high-frequency panel data set that encompasses millions of price observations and allows us to distinguish effects by brand. Upon establishing a cointegrating relationship between fuel and crude-oil prices using daily data, we estimate an error-correction model (ECM) and find that (1) the pass-through of oil prices critically depends on the number of time lags included in the ECM, (2) strict adherence to classical information criteria for determining lag length yields extremely long pass-through durations, and (3) the estimated impulse response functions are virtually identical across brands, irrespective of the lag count, suggesting a high degree of competition among brands.

Keywords: retail markets; competition; error-correction model (search for similar items in EconPapers)
JEL-codes: D12 Q41 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/119459/1/834020270.pdf (application/pdf)

Related works:
Journal Article: Time lags in the pass-through of crude oil prices: big data evidence from the German gasoline market (2016)
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:zbw:rwirep:573

DOI: 10.4419/86788659

Access Statistics for this paper

More papers in Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().