effects of packers inventory and market power on price adjustments in the u s beef industry this study examines effects of packers inventory and market power on their price adjustment behaviour in the u s beef industry econometric model used in the study allows inventory and market pow

activist monetary policy imperfect capital mobility and the overshooting hypothesis abstract the hypothesis of exchange rate overshooting is investigated in the context of a model that incorporates activist monetary policy variable output imperfect capital mobility and slow price adjustment monetary policy which accommodates prices and or interest rates is shown to increase the probability of undershooting using constrained maximum likelihood methods the model is estimated for germany and japan since the advent of generalized floating in 1973 based on the estimated parameter values the mark exhibits overshooting while the yen is characterized by undershooting the constraints implied by the model cannot be rejected at standard significance levels for either country

asymmetries in price and quantity adjustments by the competitive firm focusing on the crucial role of inventory carry overs in the production and sales decision we describe the profit maximizing behavior of a dynamic competitive firm facing random prices each firm s behavior is incorporated into a stochastic equilibrium model of the competitive industry with uncertain demand the industry model exhibits asymmetric cyclical fluctuations of the keynesian sort when demand is weak output contracts while price holds at a fixed floor when demand is strong price increases as output is constrained by a ceiling even in a pure world of constant returns without increasing costs the inability to instantaneously coordinate production and sales along with the existence of inventories is sufficient to yield a backward i shaped supply curve for the short run journal of economic literature classification numbers 020 021 022

oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases this paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed in all models the degree of asymmetry in gasoline prices declines with an increase in oil price volatility the results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with bayesian updating

purchasing power parity in the long run a cointegration approach this paper utilizes cointegration analysis to examine purchasing power parity relationships over a long time horizon the results indicate that the exchange rate is cointegrated strongly with the wholesale price index ratio and somewhat weakly with the consumer price index ratio the cointegrating coefficient between the exchange rate and the price ratio is close to one when cointegration is confirmed the hypothesis that the real exchange rate follows a random walk is rejected in most cases finally a new test for common trends finds no such common trends in exchange rates or price ratios copyright 1990 by ohio state university press

modeling the co movements between crude oil and refined petroleum markets abstract in this paper we investigate two types of asymmetries i e the asymmetry in the lower and upper tail dependences and the asymmetry in the propagation of crisis bubble between crude oil market and refined petroleum markets based on copula models thirteen copula models with different types of dependence structures and time varying dependence parameters are considered we find that in general the malm copula fits our sample data best based on aic criterion we find that lower and upper tail dependences are both positive indicating that crude oil and refined product markets tend to move together using the asymmetric copulas we find asymmetry in tail dependence between crude oil and heating oil returns and that between crude oil and jet fuel returns interestingly upper tail dependence is significantly greater than the lower tail dependence for the pre crisis period while the result is reversed for the post crisis period finally although our data prefers the nonexchangeable malm copula the asymmetry in the propagation of crisis bubble between crude oil and refined product returns is very weak

market structure and price adjustment in the u s wholesale gasoline markets abstract the issue of sticky prices in u s wholesale gasoline market is re examined allowing for the effect of market structure due to increased market concentration caused by mergers acquisitions and joint ventures which started in the late 1990s in the u s oil industry i investigate the effects of market structure on the pattern of price adjustment based on the notion that increased market concentration leads to downward price stickiness and asymmetric short run price adjustment in the transmission of crude price changes to wholesale gasoline price i find that market concentration has an insignificant asymmetric effect on the speed of price adjustment but a significant asymmetric effect on short run price adjustments in the response of wholesale gasoline prices to crude price shocks in three u s wholesale markets furthermore the signs on the coefficients of market concentration effects on price dynamics in the models support the assertion that increased market concentration leads to downward price stickiness in only one of the three markets examined overall the results indicate that market structure does not have a strong effect on the dynamics of price adjustment

causes for an asymmetric relation between the price of crude oil and refined petroleum products we revisit the issue of asymmetries in the relation between the price of crude oil and refined petroleum products in the united states an econometric analysis of monthly data indicates that the asymmetric relation between the price of crude oil and motor gasoline is generated by refinery utilization rates and inventory behavior the asymmetric relation between the price of crude oil and home heating oil probably is generated by contractual arrangements between retailers and consumers together these results imply that price asymmetries may be generated by efficient markets under these conditions there is little justification for policy interventions to reduce or eliminate price asymmetries in motor gasoline and home heating oil markets

the effect of cohort size on earnings growth a reexamination of the evidence this study reexamines the effect of cohort size on earnings growth finis welch finds that individuals in larger cohorts experience depressed earnings conditions on entry into the labor market but that their earnings grow at faster rates than in smaller cohorts thus a large portion of the cohort size effect on earnings dissipates after a few years however using data almost identical to those of welch but estimating less restrictive models it is found here that cohort size not only depresses earnings at entry but also seems to slow down early career earnings growth the evidence suggests that earnings ini larger cohorts do not approach normal levels after at brief period in the labor force rather the negative cohort size effect on earnings appears to worsen with experience

asymmetric error correction models for the oil gasoline price relationship abstract the existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification this paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behavior namely asymmetric ecm autoregressive threshold ecm and ecm with threshold cointegration each model is estimated on a common monthly data set for the gasoline markets of france germany italy spain and uk over the period 1985 2003 all models are able to capture the temporal delay in the reaction of retail prices to changes in spot gasoline and crude oil prices as well as some evidence of asymmetric behavior however the type of market and the number of countries which are characterized by asymmetric oil gasoline price relations vary across models the asymmetric ecm prescribes that long run price asymmetries are most likely to be found in the second stage of the transmission chain conversely the ecm with threshold cointegration suggests that long run price asymmetries vary across countries and markets short run price asymmetries are captured by the asymmetric ecm specification and the tar ecm the latter model suggests that all european countries are likely to be affected by asymmetries at the distribution stage while the results obtained with the asymmetric ecm are mixed

retail price cycles and the presence of small firms abstract in many canadian cities retail gasoline prices remain unchanged for weeks at a time while in other cities retail prices cycle increasing sharply and declining slowly in maskin and tirole econometrica 56 1988 571 both price cycles and rigid prices can exist in equilibrium in this article i demonstrate that the existence of these equilibria is dependent on the number of retail outlets operated by the firms constant price equilibria are found to exist only when firms are of similar size however cycle equilibria can be constructed for a wide range of relative sizes

rockets and feathers the asymmetric speed of adjustment of uk retail gasoline prices to cost changes abstract the paper develops a quadratic quantity adjustment model to test the hypothesis put forward in the recent monopolies and mergers commission report that the speed of adjustment of uk retail gasoline prices to cost changes is more rapid when costs rise than when they fall and that the adjustment path is more concentrated around the mean value on the upswing using data from 1982 to 1989 evidence of faster and more concentrated responses to cost increases were found

airfares and oil prices feathers and rockets adjustments abstract one reason that the us department of justice is examining collusion within the airline industry may be the small 12 decline in airfares that follows a large 57 drop in crude oil prices this relatively small response could be caused by three mechanisms related to the oil market 1 slow rates of adjustment 2 airfares adjust asymmetrically to changes in the oil market or 3 asymmetric adjustments within the oil market that are communicated symmetrically to airfares i evaluate these hypotheses by estimating a cointegrating vector autoregression model from monthly data and testing the error correction mechanism for asymmetry although small estimated rates of adjustment indicate that the large reduction in oil prices has been passed to airfares tests of the error correction model do not provide evidence for asymmetric adjustments between airfares and oil market contrary to the relation between crude oil and motor gasoline prices prices for jet fuel adjust faster to reductions in crude oil prices and so cannot be responsible for the relatively small decline in airfares although the cvar model does not identify an oil related mechanism that can generate the small decline in airfares relative to the large decline in the price for crude oil this absence does not imply the converse that airlines collude to set airfares

purchasing power parity and unit root tests using panel data abstract this paper reports the results of unit root tests for real exchange rates using a panel framework this panel approach provides greatly improved power compared to conventional univariate time series unit root tests we obtain evidence supporting ppp over the recent flexible exchange rate period for g 6 and oecd countries we show explicitly that failure to find such evidence in previous research was due to the low power of the tests

hedging crude oil using refined product a regime switching asymmetric dcc approach abstract in this paper we explore the strategy on hedging crude oil using refined product we develop a regime switching asymmetric dcc rs adcc model by taking into account both of regime switching and asymmetry in correlations our out of sample findings indicate that rs adcc displays greater hedging effectiveness than some conventional multivariate garch heating oil can better hedge crude oil than gasoline

does ppp hold in the transition economies the case of poland hungary this paper uses non stationarity and cointegration of time series to investigate the validity of long run purchasing power parity for poland and hungary for the period 1981 1 1993 2 long run ppp is examined vis a vis three countries the united states united kingdom and germany although the nominal exchange rates and relative price ratios between poland and hungary and each of the three countries are non stationaary they are not cointegrated indicating a rejection of the hypothesis this conclusion is supported by the real exchange rate which follows a random walk

retail price cycles and response asymmetry weekly retail gasoline prices in windsor ontario from 1989 to 1994 appear to respond faster to wholesale price increases than to decreases but exhibit a cyclic pattern inconsistent with a common explanation of response asymmetry i reconcile these observations through a model of price cycles prices on the downward portion of the cycle appear insensitive to costs compared with price increases supporting the theory that price decreases result from battles over market share this pattern resembles a faster response to cost increases than to decreases and the conclusion that asymmetry indicates a role for competition policy may be inappropriate jel classification l13 l71 cycles des prix de detail et reponse asymetrique les prix de detail hebdomadaires de la gazoline a windsor ont entre 1989 et 1994 semblent reagir plus vite aux accroissements qu aux chutes des prix de gros mais suivent un pattern cyclique qui ne semble pas consistant avec l explication traditionnelle en termes de reponse asymetrique l auteur reconcilie ces observations a l aide d un modele de cycle de prix les prix dans la portion descendante du cycle semblent insensibles aux variations de couts par comparaison avec les accroissements de prix ce qui supporte la theorie que les chutes de prix resultent de luttes pour les parts de marche le pattern ressemble a celui declenche par une reponse plus rapide aux augmentations qu aux chutes de couts et la conclusion qui voudrait qu on puisse attribuer le tout a l asymetrie des reponses et que donc une intervention de la politique de la concurrence s impose peut etre inappropriee

an international comparison of prices and exchange rates a new test of purchasing power parity abstract this paper introduces a new approach based on divisia index numbers to test ppp with both short run and long run data for all major currencies simultaneously the short run results indicate that the predictions of ppp do not hold up at all well on the other hand however the long run data are quite consistent with the ppp hypothesis the results also identify five years as a broad measure of the length of the long run insolar as ppp is concerned

real and nominal exchange rates in the long run an empirical investigation abstract this paper reports on econometric tests of the hypothesis that purchasing power parity holds as a long run relationship using data on eight industrialized countries during the flexible exchange rate period the empirical work proceeds by i testing whether nominal exchange rates and relative price levels are co integrated and ii conducting impulse response analysis of long run exchange rate and relative price level changes to explain the data keynesian models suggest that shocks during the estimation period were due principally to exogenous shifts in aggregate demand while equilibrium models suggest that monetary factors have been relatively more important

symmetric or asymmetric oil prices a meta analysis approach the analysis of price asymmetries in the gasoline market is one of the most widely studied in energy economics however the great variation in the outcomes reported makes the drawing of any definitive conclusions difficult given this situation a meta analysis serves as an excellent tool to discover which characteristics of the various markets analyzed and which specific features of these studies might account for these differences in adopting such an approach this paper shows how the particular segment of the industry analyzed the characteristics of the data the years under review the type of publication and the introduction of control variables might explain this heterogeneity in results the paper concludes on these grounds that increased competition may significantly reduce the possibility of occurrence of asymmetric behavior these results should be taken into consideration therefore in future studies of asymmetries in the oil industry

prices rise faster than they fall output prices tend to respond faster to input increases than to decreases this tendency is found in more than two of every three markets examined it is found as frequently in producer goods markets as in consumer goods markets in both kinds of markets the asymmetric response to cost shocks is substantial and durable on average the immediate response to a positive cost shock is at least twice the response to a negative shock and that difference is sustained for at least five to eight months unlike past studies which documented similar asymmetries in selected markets gasoline agricultural products etc this one uses large samples of diverse products 77 consumer and 165 producer goods accordingly the results suggest a gap in an essential part of economic theory as a start on filling this gap the study finds no asymmetry in the resonse of an individual decision maker a supermarket chain to its costs but it finds above average asymmetry where a cost shock is filtered through a fragmented w

modelling how much extra motorists pay on the road a cross sectional study of profit margins of unleaded petrol in australia abstract gross profitability margin difference between retail and wholesale prices for unleaded petrol exhibits substantial variations across 108 cities towns and regional centres in australia this paper examines if such variations averaged during 2007 2012 can be explained by a transport costs proxied by the distance between retailers and wholesalers b the size of the retail market c market competition proxied by the number of cars in the vicinity of the retailers d dummy variables capturing other qualitative attributes associated with the retailers locations three cross sectional regressions are estimated but only one successfully passes all diagnostic tests by identifying a number of locations exhibiting excessive profit margins the results of this paper enhance the efficiency and transparency of petrol pricing in the retail market it is found that the extent of excessive profiteering in western australia wa and south australia sa were lower than other australian states and territories this important finding can be explained by a strong presence of independent petrol stations in sa and the successful price monitoring performance of fuelwatch in wa

the future of pensions in europe rescuing unfunded pensions suitably amended unfunded schemes remain a good idea unfunded state pension schemes are projected to become financially unsustainable this is usually attributed to demographic trends yet trends in unemployment and in female labour force participation are quantitatively as important improvements in either or both might be sufficient to rescue existing state schemes especially if combined with an end to the practice of allowing even after retirement the value of a pension to rise with national earnings rather than prices attempts at piecemeal reform are important because nothing in economic theory suggests a switch to the alternative fully funded pensions is desirable not only would such a transition be costly and therefore politically difficult it also neglects the fact that it makes sense to diversify the retirement portfolio holding claims both on labour productivity and on capital assets one can even view pensions as part of a more sophisticated system of intergenerational transfers through which workers finance their earlier education and subsequent retirement michele boldrin juan j dolado juan f jimeno and franco peracchi

oil and pump prices testing their asymmetric relationship in a robust way abstract the aim of this study is to provide a novel method to assess whether retail fuel prices respond asymmetrically to changes in the international crude oil prices to do so we consider the whole supply chain we use daily data and we depart from the current practice in the literature that focuses on prices rather we consider the mark ups of both the refineries and retailers hence we show that we first need to assess whether the refineries mark up responds asymmetrically to the international crude oil prices and subsequently whether the retailers mark up shows an asymmetric behaviour relatively to changes in the refined fuel prices focusing in greece as our case study our findings show that greek fuel retailers do not change their mark up behaviour based on changes of the refined fuel price by contrast the asymmetric behaviour is evident in the refineries mark up relatively to changes in the international crude oil prices which is then passed through to the retailers and consumers finally we provide evidence that weekly and monthly data mask any such asymmetric relationship thus we maintain that unless the appropriate data frequency fuel price transformations and the whole supply chain are considered misleading findings could be revealed

search with learning from prices does increased inflationary uncertainty lead to higher markups aggregate cost uncertainty arising from real shocks or unanticipated inflation reduces the informativeness of prices by scrambling relative and aggregate variations but when agents can acquire additional information such increased noise may in fact lead them to become better informed and price competition will intensify we examine these issues in a model of search with learning where consumers search optimally from an unknown price distribution while firms price optimally given consumers search rules we show that the decisive factor in whether inflation variability increases or reduces the incentive to search and thereby market efficiency is the size of informational costs

relative ppp in the medium run abstract this paper tests the relative purchasing power parity rppp hypothesis on month by month post 1972 data and still obtains regression coefficients that are close to unity two methodological aspects have contributed to this encouraging result firstly although all rppp tests are vis a vis the usa we nevertheless exploit our a priori knowledge about the implications of these usd based equations on ppp relations between cross rates so in a sense we use all information implicit in all cross rates too secondly we selected an instrumental variable that is specifically designed to cope with lead and lag effects in non traded vs traded goods inflation our estimates indicate that most lead and lag effects seem to occur within a six month window jel f31

investigation of production sales and inventory relationships using multicointegration and non symmetric error correction models the accumulated sum of a stationary series is called integrated if a linear combination of some of the integrated series is stationary it is said to be cointegrated this paper presents empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration which is introduced in granger and lee 1989 a vector integrated series is multicointegrated if the accumulated sum of its stationary cointegrated linear combination is again cointegrated with itself inventory which is the accumulated sum of production minus sales is probably cointegrated with production and sales the empirical results generally support the presence of multicointegration of production and sales in many u s industries and industrial aggregates the results also favour the non symmetric error correction model providing evidence that the strength of attraction is different on both sides of the attractor a modified s s rule for inventory control is investigated in the context of a non symmetric error correction model and the results generally do not support the s s rule sufficient evidence is found to conclude that multicointegration is a useful concept in the area of inventory determination

the impact of ethanol production on us and regional gasoline markets abstract this study quantifies the impact of increasing ethanol production on wholesale retail gasoline prices employing pooled regional time series data from january 1995 to march 2008 we find that the growth in ethanol production kept wholesale gasoline prices 0 14 gallon lower than would otherwise have been the case the negative impact of ethanol on retail gasoline prices is found to vary considerably across regions the midwest region has the biggest impact at 0 28 gallon while the rocky mountain region had the smallest impact at 0 07 gallon the results also indicate that the ethanol induced reduction in gasoline prices comes at the expense of refiners profits we find a net welfare loss of 0 5 billion from the ethanol support policies in multiple markets

do gasoline prices respond asymmetrically to crude oil price changes the authors test and confirm that retail gasoline prices respond more quickly to increases than to decreases in crude oil prices among the possible sources of this asymmetry are production inventory adjustment lags and market power of some sellers by analyzing price transmission at different points in the distribution chain the authors attempt to shed light on these theories spot prices for generic gasoline show asymmetry in responding to crude oil price changes which may reflect inventory adjustment effects asymmetry also appears in the response of retail prices to wholesale price changes possibly indicating short run market power among retailers

competition regulation and pricing behaviour in the spanish retail gasoline market abstract the restructuring of the spanish oil industry produced a highly concentrated oligopoly in the retail gasoline market in june 1990 the spanish government introduced a system of ceiling price regulation in order to ensure that liberalization was accompanied by adequate consumer protection by 1998 prices were left to the free market this paper examines the pricing behaviour of the retail gasoline market using multivariate error correction models over the period january 1993 abolishment of the state monopoly december 2004 the results suggest that gasoline retail prices respond symmetrically to increases as well as to decreases in the spot price of gasoline both over the period of price regulation january 1993 september 1998 and over the period of free market october 1998 december 2004 however once the ceiling price regulation was abolished cooperation emerged between the government and the major operators repsol ypf and cepsa elf to control the inflation rate this resulted in a slower rate of adjustment of gasoline retail prices when gasoline spot prices went up as compared with the european pattern finally the spanish retail margin was by the end of our timing period of analysis as in the starting years after the abolishment of the state monopoly above the european average this pattern confirms our political economic hypothesis which suggests that the spanish government and the oil companies were working together in reducing the inflation in periods of rising oil and gasoline prices it is also inferred that explaining the pricing pattern in energy markets may require different hypothesis than the classical perspective involving just firms taking advantage of market power

purchasing power parity in the long run a test of the dollar pound exchange rate 1890 1978 this paper tests the purchasing power parity ppp hypothesis by analyzing t he long run tendency of the dollar pound exchange rate using data sin ce 1890 two different models are considered 1 a na ive model and 2 a modified monetary model the conditions of propor tionality and symmetry cannot be rejected when using the naive model the final results using the monetary model however indicate that t he existence of permanent deviations from ppp cannot be ruled out copyright 1987 by ohio state university press

taxes cost and demand shifters as determinants in the regional gasoline price formation process evidence from spain abstract this paper examines the pass through of regional tax changes and spot price variations to regional gasoline prices in spain it also analyzes the impact of all major cost and demand shifters that contribute to regional gasoline price formation to address these research issues a reduced form price equation using monthly time series cross sectional tscs data from january 2004 through december 2008 is estimated strong and consistent evidence of full shifting of regional tax changes to regional gasoline prices is found gasoline spot price changes are more than proportionally passed through to retail prices in addition the empirical evidence shows on the one hand that regional gasoline price differences before taxes continue to be quite narrow and on the other hand that there is still a margin for larger gasoline price differences among regions this suggest that traditional practices from the monopoly era i e relatively uniform regional gasoline prices persist after the market has been liberalized which may have been facilitated by the strong and uniform presence of the major spanish based refining companies in the retail sector over the whole country

asymmetric price adjustments in us gasoline markets impacts of spatial dependence on the rockets and feathers hypothesis gasoline retail prices show sometimes wild asymmetric fluctuations over time we explore the impact of spatial dependence on gasoline retail price formation by using for the first time an asymmetr

when do consumers search this paper provides empirical evidence relating search to price movements we measure consumer search directly from traffic statistics for web sites that report gasoline prices we show empirically that consumers search more as prices rise than they do when prices fall asymmetric search patterns have consequences for price behavior our findings indicate that retail margins are squeezed by increased search in addition we show that there is more price dispersion when prices are falling than when prices are either stable or rising our results provide a search based explanation for the rockets and feathers phenomenon of asymmetric price adjustment

systems of bilateral real exchange rates it is agrued that purchasing power partly should not be tested as a series of separate bilateral relationship instead a country s set of bilateral real exchange rates should be tested as a complete system this study implements such an approach on two different datasets for the group of seven major industrial countries the results contrast sharply with the related work carried out by abuaf and jorion 1990 a tentative theoretical framework is sketched against which the results can be interpreted

taxation and the asymmetric adjustment of selected retail energy prices in the uk this paper investigates the adjustment of the prices of four key petroleum products in the uk following changes in the price of crude oil we find significant evidence that the pre tax prices of diesel kerosene and gas oil adjust more rapidly in an upward than a downward direction but that the pre tax price of unleaded petrol adjusts symmetrically however these patterns are obscured at the pump once one accounts for fuel duty and value added tax raising the possibility that firms can use the tax system to conceal rent seeking behaviour

asymmetries outliers and structural stability in the us gasoline market abstract by using a recently developed nonlinear cointegration methodology and a sample that encompasses more than thirty years of monthly data we investigate whether the transmission of crude oil price variations to gasoline prices in the us market is asymmetric i e depends on the sign of the change in the explanatory variable considering both the long and the short run the model is further extended by taking separately into account the effects of extreme and mild changes in crude oil prices this allows us to verify whether and to what extent the size and shape of any observed asymmetry in pricing is affected by the presence of outliers moreover given the substantial length of the sample considered we test for the possible presence of multiple structural breaks of unknown timing in the cointegrating vector our results indicate that the relationship between the prices of gasoline and crude oil has undergone a single structural break in the late 2008 and that after the break extreme observations have a non negligible role in shaping asymmetry

exploring the life of fuel price responses in retail markets the effect of cross sectional aggregation abstract empirical studies on vertical price transmission in retail fuel markets commonly use average group data of petrol stations in this paper a simulation approach is employed to illustrate that in this case the persistence of price responses tends to be overestimated to explore the real extent of the problem we apply the mean group mg and the mean group with common correlated effects mg cce estimators to individual data from petrol stations when heterogeneity in the pricing dynamics is captured by mg and mg cce estimators persistence of retail price responses becomes considerably lower than the typical ols estimations from average group data would suggest

life cycle earnings cohort size effects and social security a quantitative exploration one of the features of the large overlapping generations model pioneered by auerbach and kotlikoff 1987 dynamic fiscal policy is that individuals with different experience levels are perfect substitutes in production this paper replaces this assumption with a labor market characterized by imperfect substitutability between less and more experienced workers by comparing the quantitative properties of both cases in a calibrated model for spain it is found that in the model economy with imperfect substitution the effects of aging on the financial viability of the pension system are less severe than in the standard model economy with perfect substitution

real exchange rates under the gold standard purchasing power parity is one of the most important equilibrium conditions in international macroeconomics empirically it is also one of the most hotly contested numerous recent studies for example have sought to determine the validity of purchasing power parity using data from the post bretton woods float and have reached different conclusions we assert that most such studies are flawed for two reasons first the post 1973 data contain by definition only a very limited amount of the low frequency information relevant for examination of long run parity second the dynamic econometric techniques used to model deviations from parity are typically quite crude with respect to admissible low frequency dynamics both deficiencies are rectified in the present paper with dramatic results we construct a new data set of 16 real exchange rates covering more than a century of the classic gold standard period and we study deviations from parity using long memory models that allow for subtle forms of mean

asymmetric responses in the timing and magnitude of changes in australian monthly petrol prices to daily oil price changes abstract this article investigates whether uncompetitive pricing tactics are being employed in the retail petrol market in australia through examining the effect of a change in daily oil prices on monthly petrol prices to do so we incorporate asymmetry into the coefficients of a normalised beta weighting function within an asymmetric mixed data sampling amidas framework this enables us to examine both the timing and the lagged marginal effects of a change in retail petrol prices in response to a change in the oil price we find evidence of asymmetries in both the timing and magnitude of retail petrol prices to a change in the oil price specifically we find that while price falls are slowly and symmetrically passed onto consumers price increases are more delayed but higher in intensity over time depending on the capital city when retailers eventually do increase petrol prices in response to an oil price rise with delay the price rise is between 2 1 and 3 4 times more than when retailers reduce petrol prices in response to a fall in the price of oil this finding is consistent with retailers delaying substantial petrol price rises in order to mask the existence of uncompetitive practices

the effects of oil prices on the price indices in taiwan international or domestic oil prices matter abstract this study employs the multivariate threshold model developed by tsay 1998 to examine the effects of international and domestic oil prices on the price indices in taiwan using monthly data from january 1999 to december 2011 the results show that changes in domestic oil prices do not granger cause changes in the price indices when the oil price change exceeds the threshold level however international oil price shocks still affect the wholesale price index through the effects of announcement and expectation therefore controlling domestic oil prices to prevent volatility in the price indices is ineffective if we focus on the period when the left wing party is in power we also find that changes in international oil prices have more critical effects on the price indices than changes in domestic oil prices however the lead lag relationship between changes in domestic oil prices and changes in the price indices vanishes except with respect to the transportation category where the consumer price index is affected by domestic oil prices this result may be due to the government s extensive intervention in setting oil prices

econometric models of asymmetric price transmission abstract in this paper we review the existing empirical literature on price asymmetries in commodities providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models type of asymmetries and empirical findings relative to the previous literature this paper is novel in several respects first it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices second this paper presents an extension of the traditional distinction between long run and short run asymmetries to new categories of asymmetries such as contemporaneous impact distributed lag effect cumulated impact reaction time equilibrium and momentum equilibrium adjustment path regime effect regime equilibrium adjustment path each empirical study is then critically discussed in the light of this new classification of asymmetries third this paper evaluates the relative merits of the most popular econometric models for price asymmetries namely autoregressive distributed lags partial adjustments error correction models regime switching and vector autoregressive models finally we use the meta regression analysis to investigate whether the results of asymmetry tests are not model invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment the main results of our survey can be summarized as follows i each econometric model is specialized to capture a subset of asymmetries ii each asymmetry is better investigated by a subset of econometric models iii the general significance of the f test for asymmetric price transmission depends mainly on characteristics of the data dynamic specification of the econometric model and market characteristics overall our empirical findings confirm that asymmetry in all its forms is very likely to occur in a wide range of markets and econometric models

testing for price response asymmetries in the spanish fuel market new evidence from daily data abstract in this work we use daily data to examine pattern asymmetries in the speed of transmission of international wholesale oil prices to spanish retail fuel prices results are robust to two alternative specifications of an asymmetric error correction model for which the presence of autoregressive conditional heteroskedasticity for disturbances is modeled by a garch 1 1 process evidence indicates that the short term transmission of wholesale prices to retail prices is quite symmetric for both gasoline and diesel fuel nevertheless in contrast to some of the results provided for an earlier period we did not find asymmetries in the speed of retail price responses toward long run equilibrium our evidence also suggests that the use of weekly or lower frequency data is one of the possible explanations for some of the seemingly contradictory results concerning this issue

do prices respond asymmetrically to cost changes this article investigates price asymmetry by using an almost complete sample of taiwanese industries to see whether output prices respond faster to cost increases than they do to decreases in contrast with the earlier literature the evidence shows that positive price asymmetry cannot be applied to all industries especially those industries with rapid productivity growth the evidence also indicates that firms exhibiting fast slow productivity growth see their prices react less more to cost increases than to cost decreases

determinants of opec production implications for opec behavior we estimate models that identify the economic and organizational determinants of crude oil production by individual opec nations to clarify the interpretation of econometric results we model production with specifications that resolve the statistical ordering of variables and estimate models with techniques that can cope with stochastic trends in the time series we also analyze the short run dynamics for asymmetries that may carry important insights about opec behavior results indicate that quotas are an important determinant of production and their effects generally are symmetric which implies that opec is an organization that influences production and ultimately prices real prices generally have a positive effect on production and the size of this effect may depend on spare capacity which implies that opec behaviors also embody competitive elements finally all nations other than saudi arabia show some form of production sharing behavior which may imply that opec shares mismatches between the call for opec production and opec quotas

do gasoline prices respond asymmetrically in the euro zone area evidence from cointegrated panel data analysis this paper uses the generalized method of moments gmm estimation to a panel data error correction model ecm in order to measure the asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail gasoline price respectively for this purpose we use an updated data set of 6369 weekly observations january 2000 to february 2011 for 11 euro zone countries the results indicate the existence of asymmetric responses in the retail and wholesale segment due to possible reasons oligopolistic structure of the refining industry existence of consumers search costs regulatory and legal barriers

the taxation effect on gasoline price asymmetry nexus evidence from both sides of the atlantic this paper explores the degree of competition in various gasoline markets and infers possible causes of price asymmetry across the globe for this purpose we use the dynamic ordinary least square method in order to estimate price asymmetry in twelve european countries and the united states for a sample of weekly observations which spans the period from june 1996 to august 2011 the results indicate the common perception that less competitive gasoline markets exhibit price asymmetry while highly competitive gasoline markets follow a symmetric price adjustment path finally the inclusion of taxes vat and excise tax into retail gasoline prices supports the existence of price asymmetry in many european countries

first evidence of asymmetric cost pass through of eu emissions allowances examining wholesale electricity prices in germany abstract we test the hypothesis that rising prices of emission allowances have a stronger impact on wholesale electricity prices than falling prices asymmetric cost pass through using an autoregressive distributed lag model we confirm this hypothesis for the german market

estimating the speed of adjustment to target levels the case of energy prices in this paper we propose a model that estimates the speed of energy price adjustment to its target level we also explain the source of price adjustment moreover we extract energy price bubbles and show that bubbles help explain price adjustment since ours is the first paper that develops an energy price adjustment model and links it to bubbles several avenues for future research have emerged from our analysis the first is to provide a theoretical framework for the bubbles and price adjustment mechanism the second direction of research will be to continue the search for other potential determinants of price adjustment

the pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices abstract crude and refined oil prices have been relatively high and volatile on a sustained basis since 1999 this paper considers the pass through of oil prices into consumer liquid i e petrol diesel and heating fuel prices in such an environment the pass through of oil prices into consumer liquid fuel prices has already been addressed extensively in the literature nonetheless much of this literature has either focused on the united states or on a time period when oil prices were relatively stable or has used monthly data the main contribution of this paper is a comprehensive combination of many features that have been considered before but rarely jointly these features include 1 the analysis of the euro area as an aggregate and a large number of countries the initial 12 member states 2 the consideration of different time periods 3 the modelling of the data in raw levels rather than in log levels this turns out to have important implications for our findings 4 the use of high frequency weekly data which as results will suggest are the lowest frequency one should consider 5 the investigation of the different stages of the production chain from crude oil prices to retail distribution refining costs and margins distribution and retailing costs and margins 6 the examination of prices including and excluding taxes excise and value added 7 the modelling of prices for three fuel types passenger car petrol and diesel separately and home heating fuel oil 8 lastly we also address the issue of possible asymmetries allowing for the pass through to vary according to a whether price are increasing or decreasing and b whether price levels are above or below their equilibrium level the main findings are as follows first as distribution and retailing costs and margins have been broadly stable on average the modelling of the relationship between consumer prices excluding taxes and upstream prices in raw levels rather than in logarithms has important implications for the stability of estimates of pass through when oil price levels rise significantly second considering spot prices for refined prices improves significantly the fit of the estimated models relative to using crude oil prices it also results in more economically meaningful results concerning the extent of pass through third oil price pass through occurs quickly with 90 occurring within three to five weeks fourth using a relatively broad specification allowing for asymmetry in the pass through from upstream to downstream prices there is little evidence of statistically significant asymmetries furthermore even where asymmetry is found to be statistically significant it is generally not economically significant lastly these results generally hold across most euro area countries with few exceptions

pass through of motor gasoline taxes efficiency and efficacy of environmental taxes abstract to investigate the efficacy and efficiency of environmental taxes i analyze the rate at which taxes on motor gasoline are passed to consumers by estimating two cointegrating vector autoregression models for each of six states for state models that specify the retail price of motor gasoline without taxes exclusion tests suggest that taxes on motor gasoline are not passed to consumers on a one for one basis for state models that specify the retail price of motor gasoline including taxes results indicate that taxes are passed to wholesale prices in florida and massachusetts on a one for one basis and are passed to retail prices with a mark up in florida massachusetts new york and ohio and are not fully passed through in washington state specific rates of pass through differ from results suggested by theory and fixed effects estimators which may be biased by the presence of nonstationary data and the assumption that the rate of pass through is the same across states rates of pass through greater than one transfer 12 2 billion from consumers to retailers in fl 2 3 billion in ma and 19 2 billion in ny during the sample period which represent 10 7 6 0 and 23 9 of total expenditures on regular motor gasoline

asymmetric fuel price responses under heterogeneity we explore the effect of cross sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks the analysis is performed on data collected daily from individual fuel stations in the spanish metropolitan areas of madrid and barcelona while the standard ols estimator is applied to an error correction model in the case of the aggregated time series we use the mean group approaches developed by pesaran and smith 1995 and pesaran 2006 to estimate the short and long run micro relations under heterogeneity we found remarkable differences between the results of estimations using aggregated and disaggregated data which are highly robust to both datasets considered our findings could help to explain many of the results in the literature on this research topic on the one hand they suggest that the typical estimation with aggregated data clearly tends to overestimate the persistence of shocks on the other hand we show that aggregation may generate a loss of efficiency in econometric estimates that is sufficiently large to hide the existence of the rockets and feathers phenomenon

rockets and feathers revisited an international comparison on european gasoline markets this paper re examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline relative to the previous literature the distinguishing features of the present paper are i use of updated and comparable data to carry out an international comparison of gasoline markets ii two stage modeling of the transmission of oil price shocks to gasoline prices first refinery stage and second distribution stage in order to assess possible asymmetries at either one or both stages iii use of asymmetric error correction models to distinguish between asymmetries that arise from short run deviations in input prices and from the speed at which the gasoline price reverts to its long run level iv explicit possibly asymmetric role of the exchange rate as crude oil is paid for in dollars whereas gasoline sells for different sums of national currencies v bootstrapping of f tests of asymmetries in order to overcome the lowpower problem of conventional testing procedures in contrast to several previous findings the results generally point to widespread differences in both adjustment speeds and short run responses when input prices rise or fall

rockets and feathers meet joseph reinvestigating the oil gasoline asymmetry on the international markets abstract we reinvestigate the rockets and feathers effect between retail gasoline and crude oil prices in a new framework of fractional integration long term memory and borderline non stationarity the most frequently used error correction model is examined in detail and we find that the prices return to their equilibrium value much more slowly than would be typical for the error correction model such dynamics is usually referred to as the joseph effect the standard procedure is shown to be troublesome and we introduce two new tests to investigate possible asymmetry in the price adjustment to equilibrium under these complicated time series characteristics on the dataset of seven national gasoline prices we find no statistically significant asymmetry the proposed methodology is not limited to the gasoline and crude oil case but it can be utilized for any asymmetric adjustment analysis

long and short run price asymmetries and hysteresis in the italian gasoline market abstract using monthly data from 1994 to 2013 we study the long run relation of the pre tax retail prices of gasoline with crude price and the nominal exchange rate we find a strongly significant long run relation we then use the nonlinear ardl nardl model to assess the asymmetries on both the short and long run elasticities as well as the presence of hysteresis in the pricing behaviour the estimation results confirm the presence of asymmetry in the long run elasticities with significant differences between the crude price and the exchange rate as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price

asymmetric pass through of oil prices to gasoline prices with interval time series modelling abstract modelling and analyzing the pass through of crude oil prices to retail gasoline prices has received an increasing attention in existing literature however most of the ongoing efforts focus on point valued data which may suffer from the informational loss this paper first employs the threshold autoregressive interval valued tari models developed recently by sun et al 2018a to investigate this transmission and proposes a novel consistent interval based test to detect threshold effects and derives its asymptotic properties these interval based tari model and test superior to traditional point based methods can produce more efficient parameter estimation and more powerful inference due to the informational gain of interval data that is interval data simultaneously contain more information e g trend and volatility than point valued data during the same period empirical results suggest that retail gasoline prices are adjusted upwards faster than downwards and this short run asymmetry is statistically significant during the whole sample our findings reveal that both the level and volatility of oil prices have a positive impact on the price of gasoline which contributes to the asymmetries in the transmission of oil price shocks these results are robust before and after financial crisis furthermore it is interesting to find that after financial crisis both the error correction adjustment speeds and the asymmetries decrease

price asymmetry in the dutch retail gasoline market abstract this article analyses the retail price adjustments in the dutch gasoline market we estimate an asymmetric error correction model on weekly price changes for the years 1996 2001 we construct five datasets one for each working day the conclusions on asymmetric pricing are shown to differ over these datasets suggesting that the choice of the day for which the prices are observed matters more than commonly believed in our view the insufficient robustness of the outcomes might explain the mixed conclusions found in the literature using these two approaches we also show that the effect of asymmetry on the dutch consumer costs is negligible

is there trend reversion in purchasing power parity abstract this study presents some empirical evidence on purchasing power parity ppp using residualbased co integration tests engle and granger s 1987 tests and the ratio of the variance of higher order differences to the variance of the first difference of the residuals of the cointegrating regression are used monthly data over a span of 30 years do not provide any empirical support to the theory conversely in the annual data long run equilibrium tendencies are evident since ppp has been widely used to provide an anchor for the equilibrium exchange rate our results indicate that such an assumption is not completely inadequate