A threshold cointegration analysis of asymmetric price transmission from crude oil to gasoline prices

被引：122
|
作者：
Chen, LH [1 ]
Finney, M [1 ]
Lai, KS [1 ]
机构：
[1] Calif State Univ Los Angeles, Dept Econ, Los Angeles, CA 90032 USA
来源：
ECONOMICS LETTERS | 2005年 / 89卷 / 02期
关键词：
spot gasoline price; crude oil; threshold cointegration; asymmetric adjustment;
D O I：
10.1016/j.econlet.2005.05.037
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study provides new supportive evidence for asymmetric adjustment in U.S. retail gasoline prices. The asymmetric transmission is found to occur not just through the spot markets of crude oil and refinery gasoline but also through their future markets. Further evidence also shows that the observed asymmetry in price transmission primarily occurs downstream - not upstream - of the transmission process. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：233 / 239
页数：7
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