Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2005-04-22
Number: 05-040/2
Author-Name: Leon Bettendorf
Author-Email: bettendorf@few.eur.nl
Author-Workplace-Name: Faculty of Economics, Erasmus Universiteit Rotterdam
Author-Name: Stephanie van der Geest
Author-Email: vandergeest@few.eur.nl
Author-Workplace-Name: Faculty of Economics, Erasmus Universiteit Rotterdam
Author-Name: Gerard Kuper
Author-Email: g.h.kuper@eco.rug.nl
Author-Workplace-Name: University of Groningen
Title: Do Daily Retail Gasoline Prices adjust Asymmetrically?
Abstract: This paper analyzes 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 the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease. We do not find strong evidence for amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices. This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.
Classification-JEL: D43; E31
Keywords: Asymmetry; Retail gasoline prices; Volatility
File-Url: https://papers.tinbergen.nl/05040.pdf
File-Format: application/pdf
File-Size: 331046 bytes
Handle: RePEc:tin:wpaper:20050040