Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/15:00452312

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

49

Číslo periodika v rámci svazku

May

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

8

Strana od-do

1-8

Kód UT WoS článku

000356752200001

EID výsledku v databázi Scopus

2-s2.0-84923034370