Do daily retail gasoline prices adjust asymmetrically?

被引：22
|
作者：
Bettendorf, L.
van der Geest, S. A. [3 ]
Kuper, G. H. [1 ,2 ]
机构：
[1] Univ Groningen, Dept Econ, NL-9700 AV Groningen, Netherlands
[2] SOM, Groningen, Netherlands
[3] Erasmus Univ, SEBR, Rotterdam, Netherlands
来源：
JOURNAL OF APPLIED STATISTICS | 2009年 / 36卷 / 04期
关键词：
asymmetry; retail gasoline prices; volatility; TIME-SERIES; UNIT-ROOT; CYCLES; COINTEGRATION; VOLATILITY; STICKY; MARKET;
D O I：
10.1080/02664760802466468
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper analyses 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 that the volatility process is asymmetrical: a positive shock to the retail price has a greater effect on the variance of the retail price than a negative shock. We conclude that the retail price and the spot price do not drift apart in the long run. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices in the short run. This asymmetry starts 3 days after the change in the spot price and lasts for 4 days.
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页码：385 / 397
页数：13
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