Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10297812" target="_blank" >RIV/00216208:11230/15:10297812 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/15:00452312
Result on the web
<a href="http://dx.doi.org/10.1016/j.eneco.2015.01.013" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2015.01.013</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2015.01.013" target="_blank" >10.1016/j.eneco.2015.01.013</a>
Alternative languages
Result language
angličtina
Original language name
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
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Volume of the periodical
49
Issue of the periodical within the volume
May
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
8
Pages from-to
1-8
UT code for WoS article
000356752200001
EID of the result in the Scopus database
2-s2.0-84923034370