PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2011 | 3 | nr 2 | 75--95
Tytuł artykułu

Modelling Fuel Prices. An I(1) Analysis

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This article analyses fuel pricing in Poland in the period January 2000 - March 2011. Two levels of prices are considered: wholesale prices set by Polish refineries and retail prices paid at petrol stations. Because refinery product prices are strongly dependent on the zloty exchange rate, a large part of the article deals with the modelling of the PLN/EUR exchange rate, in which process a CHEER model is used. The multivariate cointegration analysis showed that the wholesale and retail prices of fuels and the exchange rate are linked through long-run relationships. As demonstrated, the wholesale price of fuel depends on the crude-oil price and the PLN/EUR exchange rate. Another finding is that changes in the wholesale price are fully transmitted to retail prices. As far as the exchange rate is concerned, the real interest rate parity hypothesis has been confirmed, as well as the significance of the risk as perceived by financial investors. (original abstract)
Rocznik
Tom
3
Numer
Strony
75--95
Opis fizyczny
Twórcy
  • University of Lodz, Poland
Bibliografia
  • [1] Al-Gudhea S., Kenc T., Dibooglu S., (2007), Do Retail Gasoline Prices Rise More Readily Than They Fall? A Threshold Cointegration Approach, Journal of Economics and Business 59, 560-574.
  • [2] Asche F., Gj0lberg O., Volker T., (2003), Price Relationships in Petroleum Markets: an Analysis of Crude Oil and Refined Product Prices, Energy Economics 25, 289-301.
  • [3] Badr E.A., Nasr G.E., Dibeh G.L., (2008), Econometric Modeling of Gasoline Consumption: A Cointegration Analysis, Energy Sources 3, 305-313.
  • [4] Bejger S., Bruzda J., (2001), Wykorzystanie asymetrii reakcji cenowych do badania konkurencyjności branży - przykład polskiej branży petrochemicznej, available at: http://www.econ1.uni.torun.pl/dem01/bejger_bruzda.pdf.
  • [5] Chen L.H., Finney M., Lai K.S., (2005), A Threshold Cointegration Analysis of Asymmetric Price Transmission from Crude Oil to Gasoline Prices, Economics Letters 89, 233-239.
  • [6] Clark P., MacDonald R., (1999), Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEER's and FEER's, Chapter 10, [in:] Equilibrium Exchange Rates, [ed.:] R. MacDonald, J. Stein, Kluwer Academic Publishers, Norwell, Massachusetts, 285-322.
  • [7] Douglas C. C., (2010), Do Gasoline Prices Exhibit Asymmetry? Not Usually!, Energy Economics 32, 918-925.
  • [8] Grabowski W., Welfe A., (2010), Global Stability of Dynamic Models, Economic Modelling 28, 782-784.
  • [9] Greenslade J.V., Hall S.G., Henry S.G.B., (2002), On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices, Journal of Economic Dynamics and Control 26, 1517-1537.
  • [10] Giorgianni L., (1997), Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence from Italian Data, IMF Working Paper 97/39, available at: http://www.imf.org/external/pubs/ft/wp/wp9739.pdf.
  • [11] Grasso M., Manera M., (2007), Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship, Energy Policy 35, 156-177.
  • [12] Honarvar A. (2009), Asymmetry in Retail Gasoline and Crude Oil Price Movements in the United States: An Application of Hidden Cointegration Technique, Energy Economics 31, 395-402.
  • [13] Johansen S., (1996), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, 2nd ed., Oxford University Press, Oxford.
  • [14] Johansen S., Juselius K., (1992), Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK, Journal of Econometrics 53, 211-244.
  • [15] Juselius K., (1991), Long-Run Relations in a Well Defined Statistical Model for the Data Generating Process: Cointegration Analysis of the PPP and UIP Relations between Denmark and Germany, [in:] Econometric Decision Models: New Methods of Modeling and Applications, [ed.:] J. Gruber, Springer, New York.
  • [16] Juselius K., (1995), Do Purchasing Power Parity and Uncovered Interest Parity Hold in the Long Run? An Example of Likelihood Inference in a Multivariate Time-Series Model, Journal of Econometrics 69, 211-240.
  • [17] Juselius K., (2006), The Cointegrated VAR Model. Methodology and Applications, Oxford University Press, New York.
  • [18] Juselius K., MacDonald R., (2000), International Parity Relationships between Germany and the United States: A Joint Modelling Approach, Discussion Papers 00-10, Department of Economics, University of Copenhagen, available at http: //www.econ.ku.dk/english/research/publications/wp/2000/0010.pdf.
  • [19] Juselius K., MacDonald R., (2004), Interest Rate and Price Linkages between USA and Japan, Japan and the World Economy 16, 17-34.
  • [20] Juselius K., MacDonald R., (2006), Imperfect Knowledge Expectations, Uncertainty Premia and Exchange Rate Dynamics, [in:] International Macroeconomics: Recent Developments, [ed.:] A. Morales-Zumaquero, Nova Science Publishers, New York.
  • [21] Kaufmann R.K., Laskowski C. (2005), Causes for an Asymmetric Relation Between the Price of Crude Oil and Refined Petroleum Products, Energy Policy 33, 1587-1596.
  • [22] Kelm R., (2011), Ryzyko walutowe i wahania kursu PLN/EUR w latach 19992009, Bank i Kredyt 2, 31-66.
  • [23] Kelm R., Bęza-Bojanowska J., (2005), Polityka monetarna i fiskalna a odchylenia realnego kursu złoty/euro od kursu równowagi w okresie styczeń 1995 r. - czerwiec 2004 r., Bank i Kredyt 10, 4-19.
  • [24] Kębłowski P., Welfe A., (2010a), Estimation of the Equilibrium Exchange Rate: The CHEER Approach, Journal of International Money and Finance 29, 13851397.
  • [25] Kębłowski, P., Welfe A., (2010b), The Risk-Driven Approach to the Equilibrium Exchange Rate, SGH Working Paper 8-11, presented at: the 65th European Meeting of the Econometrics Society (ESEM), Oslo, 25-29 August 2011, available at: http://www.sgh.waw.pl/instytuty/zes/wp/aewp08-11.pdf.
  • [26] Kilian L., (2008), Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil and the US Retail Gasoline Market, CEPR Discussion Paper 6919, available at: http://www.douglaslaxton.org/sitebuildercontent/ sitebuilderfiles/kilian.whydoesgasolinecostsomuch.paper.pdf.
  • [27] Majsterek M., (2008), Wielorównaniowa analiza kointegracyjna w ekonomii, Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
  • [28] Miłobędzki P., (2007), Orlen czy Lotos? Kto kształtuje ceny na hurtowym rynku benzyn silnikowych w Polsce?, [in:] Dynamiczne Modele Ekonometryczne, [ed.:] Z. Zieliński, Wydawnictwo UMK, Toruń, 181-188.
  • [29] Rao B. B., Rao G., (2009), Cointegration and the Demand for Gasoline, Energy Policy 37, 3978-3983.
  • [30] Stążka A., (2008), International Parity Relations between Poland and Germany: A Cointegrated VAR Approach, Bank i Kredyt 3, 3-24.
  • [31] Park S. Y., Zhao G., (2010), An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach, Energy Economics 32, 110-120.
  • [32] Radchenko S., (2005), Oil Price Volatility and the Asymmetric Response of Gasoline Prices to Oil Price Increases and Decreases, Energy Economics 27, 708-730.
  • [33] Sobiechowska-Ziegert A., (2001), Ekonometryczne modele cen paliw płynnych w Polsce w latach 1996-2000, Gospodarka Polski w okresie transformacji, PG, Gdańsk.
  • [34] Sobiechowska-Ziegert A., (2009), Ekonometryczne prognozy cen na przykładzie rynku paliw w Polsce, [in:]: Koniunktura gospodarcza. Od bańki internetowej do kryzysu, [ed.:] J. Czech-Rogosz, J. Pietrucha, R. Żelazny, Wydawnictwo C.H.Beck, Warszawa, 99-106.
  • [35] Waściński T., Przekota G., Sobczak L., (2010), Reakcja detalicznych cen paliw na zmiany cen hurtowych PKN Orlen i Lotos, [in:] Metody Ilościowe w Badaniach Ekonomicznych, Wydawnictwo SGGW, Warszawa, Vol. 11, No. 2, 273-280.
  • [36] Wdowiński P., (2011), Analiza kointegracji kursu PLN/EUR na podstawie modelu równowagi CHEER, Bank i Kredyt 1, 79-98.
  • [37] Welfe A., (2003), Ekonometria. Metody i ich zastosowanie, PWE, Warszawa.
  • [38] Welfe A., Karp P., Kębłowski P., (2006), Mechanizmy makroekonomiczne w gospodarce polskiej. Analiza ekonometryczna, Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231413

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.