Publication:
European gasoline markets: price transmission asymmetries in mean and variance

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorTorrado, María
dc.contributor.authorEscribano, Álvaro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2020-02-05T17:11:00Z
dc.date.available2020-02-05T17:11:00Z
dc.date.issued2020-01-30
dc.description.abstractThe main objective of this paper is to analyse the different sources of asymmetric price transmissions in the fuel market for France, Germany and Spain. During the last decades,the EU has carried out several common energy policies to achieve more efficient and competitive markets. However, given the specific characteristics of each country, the question we want to address is if fuel prices across EU members behave differently in response to different market structures. Oil operators have been targeted by competition authorities for conducting non-competitive practices. To figure out whether the common complaint that gasoline prices adjust differently to positive or negative input price changes, dynamic asymmetric models for the mean and variance are developed for each country. Several asymmetric specifications for the mean and variance are considered and the best specification combines double threshold error correction models (DT-ECM) for the mean with asymmetric EGARCH plus dummy variables for the conditional variance. We show that French gasoline prices behave more competitively, adjusting quicker to the long-run equilibrium and with higher price volatility. This outcome is consistent with the strong presence of hypermarkets following low-cost pricing strategies in France.en
dc.description.sponsorshipAlvaro Escribano is grateful for the funding provided by Ministerio de Economía y Competitividad, Funder Id: 10.13039/501100003329, Grant Number: ECO2016-00105-001, MDM 2014- 0431 and Agencia Estatal de Investigación: 2019/00419/001. Comunidad de Madrid, Grant Number: MadEco-CM S2015/HUM-3444.es
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/29633
dc.identifier.uxxiDT/0000001740es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries20-01
dc.relation.projectIDGobierno de España. ECO2016-00105-001es
dc.relation.projectIDGobierno de España. MDM 2014- 0431es
dc.relation.projectIDGobierno de España. 2019/00419/001es
dc.relation.projectIDComunidad de Madrid. MadEco-CM S2015/HUM-3444es
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.otherCompetitionen
dc.subject.otherGasoline price asymmetrieses
dc.subject.otherRockets and feathersen
dc.subject.otherNonlinear error correctionen
dc.subject.otherGARCHen
dc.subject.otherEGARCHen
dc.subject.otherGJR-GARCHen
dc.subject.otherLog-GARCHen
dc.titleEuropean gasoline markets: price transmission asymmetries in mean and varianceen
dc.typeworking paper*
dspace.entity.typePublication
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