Petrol and Crude Oil Prices: Asymmetric Price Transmission

• Autorzy: Szymon Wlazłowski
• Języki publikacji: EN

Abstrakty

EN

In this paper quantitative methods were used to establish whether petrol prices really respond faster to crude oil price increases than to decreases, as it is sometimes stated by drivers in the UK. The model created in this paper is designed to look for asymmetric patterns in the process of reverting to the long run equilibrium after shocks to the upstream variables. It can be used to assess asymmetries in interest rates and prices and to detect the impact of the transaction costs (consistent versions of TAR and M-TAR models) in many markets. Last but not least, it may be able to detect the impact of foreign exchange rate bonds. The composition is as follows. The first part presents up-to-date developments in the theory behind modelling asymmetric price transmission. It also reports results of previous studies. This review is aimed only at familiarizing the reader with the state-of-the art not at providing the comprehensive study of the modelling techniques. This is the task of the second part in which, the empirical methods developed for assessing asymmetry in price transmissions are described. Next part describes the results of the application of time series techniques aimed at characterising the nature of the long-run relationship between crude oil prices and retail prices of 4 Star petrol. The last sections deal directly with the issue of asymmetry. (fragment of text)

Słowa kluczowe

EN

Oil prices; Fuel prices

PL

Ceny ropy naftowej; Ceny paliw

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2003
• Numer: nr 11
• Strony: 64--86

Twórcy

autor

Szymon Wlazłowski

• Transfer Pricing Group of Deloitte & Touche Doradztwo Podatkowe Sp. z o.o

Bibliografia

• Abdulai, A. 2002, Using Threshold Cointegration to Estimate asymmetric Price Transmission in the Swiss Pork Market, Applied Economics, No. 34, 679-687.
• Balke, S.N., Fomby, T.B., 1997, Threshold Cointegration, International Economic Review, Vol. 38, No. 3, 627-645.
• Balke, S.N., Brown, S.P.A., Yücel, M.K., 1998, Crude oil and Gasoline Prices: An Assymetric Relationship?, Federal Reserve Bank of Dallas Economic Review, No. 1, 2-11.
• Borenstein, S., Cameron, A.C., Gilbert, R., 1997, Do Gasoline Prices Respond Asymmetrically to Crude Oil Changes, Quarterly Journal of Economics, 112 Spring 1997, 305-339.
• Borenstein, S., Shephard A., 1996, Dynamic Pricing in Retail Gasoline Markets, Rand Journal of Economics, 27, 429-451.
• Brown, S.P.A., Yucel, M.K., 2000, Gasoline and Crude Oil prices: Why the Asymmetry, Economic and Financial Review, 3Q 2000, 1-11.
• Chan, K.S., 1993, Consistency and Limiting Distribution of the Least Squares estimation of the TAR model, The Annals of Statistics, No. 21, 520-553.
• Cook, S., 1999, Nonsymmetric Error Correction Revisited, Applied Economics Letters, No. 6, 467-470.
• Cook, S., Holly, S. Turner, P., 1999, DHSY Revisited: the Role of Asymmetries, Applied Economics, No. 31, 775 778.
• Cramon-Taubadel Von, S., Meyer, J., 2001, Asymmetric Price Transmission: Factor Artefact; Working Paper, University Gottingen, http://www.jochenmeyer.de/paper.htm(28 Jul. 02).
• Godby, R., Lintner, A.M., Stengos, T., Wandschneider, B., 2002, Testing for Asymmetric Pricing in the Canadian Retail Gasoline Market, Energy Economics No. 22, 349-368.
• E1A Monthly Energy Review, 2002, http://www.eia.doe.gov/emeu/mer/prices.html (28 Jul. 02).
• Enders, W., Granger, C.W.J., 1998, Unit-root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates, Journal of Business and Economic Statistic, No. 16, 53-77.
• Enders, W., Siklos, P.L., 1999, Cointegration and Threshold Adjustment, University of San Diego, California, www.crde.umontreal.ca/cesg/Siklos.pdf (28 Jul. 02).
• Engle, R.F., Granger, C.W.J., 1987, Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, Vol. 55, No. 2, 251-276.
• Galeotti, M., Lanza, A., Manera, M., 2002, Rockets and Feathers Revisited: An International Comparison on European Gasoline Markets, Fundazione Eni Enricon Mattei, http://www.feem.it/web/activ/_acti.html (28 Jul. 02).
• Institute of Petroleum (2002), IF Statistics 14, Insitute of Petroleum, London.
• Maddala, G.S., Kim, I., 1998, Unit Roots, Cointegration and Structural Change, Cambridge University Press, Cambridge.
• Manning, D.N., Petrol prices, oil price rises and oil price falls, some evidence for the UK since 1972, Applied Economics, Vol. 23,1535-1541.
• Monopolies and Mergers Commission, 1990 Report, London, HMSO.
• Office of Fair Trading OFT, 1998, Competition in the supply of petrol, A report by the Office of Fair trading, http://www.oft.gov.uk/NR/rdonlyres (28 Jul. 02).
• Peltzman, S., 2000, Prices Rise Faster than they Fall, Journal of Political Economy, Vol. 108, No. 3, 466-501.
• Pipenger, M.K., Goering, G.E., 1993, A Note on the Empirical Power of Unit Root tests under Threshold Processes, Oxfrod Bulletin of Economics and Statistics 55, 473-481.
• Reilly, B., Witt, R., 1998, Petrol Price Asymmetries Revisited, Energy Economics, No. 20, 297-308.
• Sichel, D.E., 1993, Business Cycle Asymmetry: a Deeper Look, Economic Inquiry 31, 224-235.
• Smith, Z., 2000, The petrol tax debate, Institute for fiscal studies, http://www.ifs.org. uk(28 Jul. 02).
• Sumner, M., 1991, Asymmetries in Petrol Pricing, University of Sussex, Mimeo.
• Tong, H., 1990, Non-linear Time Series: a Dynamical Approach, Oxford University Press, Oxford.
• Tsay, R. S., 1998, Testing and Modelling Threshold Autoregressive Processes, Journal of the American Statistical Association, Vol. 84, No. 405, 231-241.