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Fuel Price Volatility and Asymmetric Transmission of Crude Oil Price Changes to Fuel Prices

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  • Iuliana ZLATCU

    (Bucharest University of Economic Studies, Romania)

  • Matei KUBINSCHI

    (Bucharest University of Economic Studies, Romania)

  • Dinu BARNEA

    (Bucharest University of Economic Studies, Romania)

Abstract

In recent years, retail fuel prices have raised the question of whether they are anomalous in relation with the crude oil prices. This paper aims to study the price volatility and the response of retail fuel prices to changes in international crude oil prices on the Romanian fuel market and on four other markets, namely Germany, France, Poland and Czech Rep., during the period between 2008 and 2014. By estimating univariate and multivariate GARCH models, as well as applying an MTAR threshold cointegration approach, the study finds similar patterns across the aforementioned markets. Our results show that the conditional volatility reached its peak during the outbreak of the financial crisis, together with an abrupt fall in time-varying correlations, which offer support for the asymmetric transmission hypothesis. Finally, the cointegration analysis detects some signs of asymmetric adjustments, supporting the hypothesis of a faster adjustment above the threshold in most cases.

Suggested Citation

  • Iuliana ZLATCU & Matei KUBINSCHI & Dinu BARNEA, 2015. "Fuel Price Volatility and Asymmetric Transmission of Crude Oil Price Changes to Fuel Prices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(605), W), pages 33-44, Winter.
    • Handle: RePEc:agr:journl:v:xxii:y:2015:i:4(605):p:33-44
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    References listed on IDEAS

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    Cited by:

    1. Ayben Koy, 2017. "Modelling Nonlinear Dynamics of Oil Futures Market," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 2(1), pages 23-42, June.
    2. Kubinschi Matei & Barnea Dinu & Zlatcu Iuliana, 2019. "Estimating fuel price volatility and spillover effects across different European countries," Management & Marketing, Sciendo, vol. 14(4), pages 419-430, December.
    3. Ayben Koy, 2022. "Regime Switching Mechanism during Energy Futures Price Bubbles," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 373-382.

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