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Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling
Sun, Yuying1,2; Zhang, Xun1,2; Hong, Yongmiao3,4; Wang, Shouyang1,2,5
2019-02-01
Source PublicationENERGY ECONOMICS
ISSN0140-9883
Volume78Pages:165-173
AbstractModelling 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. (C) 2018 Elsevier B.V. All rights reserved.
KeywordAsymmetry Crude oil prices Gasoline prices Threshold autoregressive interval-valued regression Volatility
DOI10.1016/j.eneco.2018.10.027
Language英语
Funding ProjectNational Natural Science Foundation of China[7041100] ; National Natural Science Foundation of China[71422015] ; National Natural Science Foundation of China[71642006] ; Fujian Provincial Key Laboratory of Statistics, Xiamen University[201601] ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000462105100011
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/34289
Collection系统科学研究所
Corresponding AuthorZhang, Xun
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
3.Cornell Univ, Dept Econ, Ithaca, NY 14850 USA
4.Cornell Univ, Dept Stat Sci, Ithaca, NY 14850 USA
5.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Sun, Yuying,Zhang, Xun,Hong, Yongmiao,et al. Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling[J]. ENERGY ECONOMICS,2019,78:165-173.
APA Sun, Yuying,Zhang, Xun,Hong, Yongmiao,&Wang, Shouyang.(2019).Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling.ENERGY ECONOMICS,78,165-173.
MLA Sun, Yuying,et al."Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling".ENERGY ECONOMICS 78(2019):165-173.
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