European gasoline markets: price transmission asymmetries in mean and variance

e-Archivo Repository

Show simple item record Torrado, María Escribano, Álvaro
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía 2020-02-05T17:11:00Z 2020-02-05T17:11:00Z 2020-01-30
dc.identifier.issn 2340-5031
dc.description.abstract The 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.
dc.description.sponsorship Alvaro 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.
dc.language.iso eng
dc.relation.ispartofseries Working paper. Economics
dc.relation.ispartofseries 20-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other Competition
dc.subject.other Gasoline price asymmetries
dc.subject.other Rockets and feathers
dc.subject.other Nonlinear error correction
dc.subject.other GARCH
dc.subject.other EGARCH
dc.subject.other GJR-GARCH
dc.subject.other Log-GARCH
dc.title European gasoline markets: price transmission asymmetries in mean and variance
dc.type workingPaper
dc.subject.jel B23
dc.subject.jel C24
dc.subject.jel C52
dc.subject.jel D43
dc.subject.jel L13
dc.subject.jel L71
dc.relation.projectID Gobierno de España. ECO2016-00105-001
dc.relation.projectID Gobierno de España. MDM 2014- 0431
dc.relation.projectID Gobierno de España. 2019/00419/001
dc.relation.projectID Comunidad de Madrid. MadEco-CM S2015/HUM-3444
dc.identifier.uxxi DT/0000001740
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)

The following license files are associated with this item:

This item appears in the following Collection(s)

Show simple item record