New Evidence on Asymmetric Gasoline Price Responses
In a 1997 paper, Borenstein, Cameron, and Gilbert (BCG) claim that gasoline prices rise quickly following an increase in the price of crude oil, but fall slowly following a decrease. This note estimates an error-correction model with daily spot gasoline and crude-oil price data over the period 1985-1998 and finds no evidence of asymmetry in wholesale gasoline prices. The sources of the difference in results are twofold. First, we use the standard Engle-Granger two-step estimation procedure, whereas BCG used a nonstandard estimation methodology. Second, even using BCG's nonstandard specification, the use of daily rather than weekly data yields little evidence of price asymmetry. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Year of publication: |
2003
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Authors: | Bachmeier, Lance J. ; Griffin, James M. |
Published in: |
The Review of Economics and Statistics. - MIT Press. - Vol. 85.2003, 3, p. 772-776
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Publisher: |
MIT Press |
Saved in:
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