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Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorTorrado, María
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2017-07-19T14:20:59Z
dc.date.available2017-07-19T14:20:59Z
dc.date.issued2017-07-01
dc.description.abstractOver the last decades a transition from a state-own monopoly to a private business took placein the Spanish fuel sector. To figure out whether downstream prices react differently toupstream price increases than to price decreases, alternative dynamic nonlinear andasymmetric error correction models are applied to weekly price data. This paper analyse theexistence of price asymmetries in the fuel market in Spain during the 2011-2016 period. Incomparison with traditional asymmetric price theory literature, this paper introduces a newdouble threshold error correction (ECM) model (DT-ECM) and new double logistic ECMmodels and compares them with more common linear ECM, time varying parameter models(TV-ECM), threshold autoregressive models (T-ECM), smooth transition autoregressive(STAR) models and nonlinear error correction (Logistic-ECM) and double threshold Logistic(DT-Logistic ECM). The nonlinear and asymmetric results found show that sophisticatedbivariate long-run asymmetries are present in the prices of the fuel sector and that those pricereactions depend on whether the oil price increases or decreases, on the stage of theproduction, the distribution chain as well as on the period considered.en
dc.description.responsabilityThe Corresponding author holds an UC3M-Chair for internationalization and acknowledges financial support from the Spanish Ministry of Innovation and Science ECO2012-36559 and María de Maeztu Grant MDM 2014-0431.en
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/24984
dc.identifier.uxxiDT/0000001576es
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Economicsen
dc.relation.ispartofseries17-07
dc.relation.projectIDGobierno de España. ECO2012-36559es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelB23
dc.subject.jelC24
dc.subject.jelC52
dc.subject.jelD43
dc.subject.jelL13
dc.subject.jelL71
dc.subject.otherGasoline Price Asymmetriesen
dc.subject.otherThreshold-ECM modelsen
dc.subject.otherDouble-Threshold-ECM modelsen
dc.subject.otherLogistic-STAR Modelsen
dc.subject.otherNonlinear Error Correction Modelsen
dc.subject.otherRockets and Feathersen
dc.titleNonlinear and asymmetric pricing behaviour in the Spanish gasoline marketen
dc.typeworking paper*
dspace.entity.typePublication
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