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An alternative semiparametric approach to the modelling of asymmetric gasoline price adjustment

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  • Polemis, Michael L.
  • Tsionas, Mike G.

Abstract

In this paper we revisit the wholesale and retail gasoline price adjustments to fluctuations in the input cost prices for a monthly panel dataset of 48 US states over the period 1994 to 2011. In doing so, we employ for the first time in the empirical literature nonlinear semiparametric models with local Generalized Method of Moments (GMM) estimators. Our findings indicate that wholesale and retail gasoline prices adjust more rapidly in an upward than a downward direction, confirming the “rockets and feathers” hypothesis.

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  • Polemis, Michael L. & Tsionas, Mike G., 2016. "An alternative semiparametric approach to the modelling of asymmetric gasoline price adjustment," Energy Economics, Elsevier, vol. 56(C), pages 384-388.
    • Handle: RePEc:eee:eneeco:v:56:y:2016:i:c:p:384-388
    DOI: 10.1016/j.eneco.2016.04.004
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    References listed on IDEAS

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    Cited by:

    1. Carabalí , Jaime & Meneses , Luis & Perez, Alex & Rodriguez, Manuel, 2022. "Retail Prices of Gasoline and Asymmetric Adjustment to Wholesale Prices in Colombia," Journal of Economic Development, The Economic Research Institute, Chung-Ang University, vol. 47(3), pages 73-105, September.
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    3. Apergis, Nicholas & Vouzavalis, Grigorios, 2018. "Asymmetric pass through of oil prices to gasoline prices: Evidence from a new country sample," Energy Policy, Elsevier, vol. 114(C), pages 519-528.
    4. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2018. "On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis," MPRA Paper 89671, University Library of Munich, Germany.
    5. Dagoumas, Athanasios S. & Polemis, Michael L., 2020. "Carbon pass-through in the electricity sector: An econometric analysis," Energy Economics, Elsevier, vol. 86(C).
    6. Chuxiong Deng & Zhujun Jiang & Chuanwang Sun, 2018. "Estimating the Efficiency and Impacts of Petroleum Product Pricing Reforms in China," Sustainability, MDPI, vol. 10(4), pages 1-17, April.
    7. Jonathan E. Ogbuabor & Anthony Orji & Gladys C. Aneke & Manasseh O. Charles, 2019. "Did the global financial crisis alter the oil–gasoline price relationship?," Empirical Economics, Springer, vol. 57(4), pages 1171-1200, October.
    8. Malkidis, Stavros & Fountas, Stilianos, 2020. "Liquid fuel price adjustment in Greece: A two-stage, threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    9. Lin, Winston T. & Chen, Yueh H. & Hung, TingShu, 2019. "A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology," European Journal of Operational Research, Elsevier, vol. 272(2), pages 766-779.
    10. Dagoumas, Athanasios & Polemis, Michael, 2018. "Analysing Carbon Pass-Through Rate Mechanism in the Electricity Sector: Evidence from Greece," MPRA Paper 91067, University Library of Munich, Germany.
    11. Ogbuabor, Jonathan E. & Ukwueze, Ezebuilo R. & Mba, Ifeoma C. & Ojonta, Obed I. & Orji, Anthony, 2023. "The asymmetric impact of economic policy uncertainty on global retail energy markets: Are the markets responding to the fear of the unknown?," Applied Energy, Elsevier, vol. 334(C).
    12. Shioji, Etsuro, 2021. "Pass-through of oil supply shocks to domestic gasoline prices: evidence from daily data," Energy Economics, Elsevier, vol. 98(C).
    13. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2019. "Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU," Energy Economics, Elsevier, vol. 81(C), pages 1-12.
    14. Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022. "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, vol. 28(C).
    15. Polemis, Michael L. & Tzeremes, Nickolaos G., 2019. "Competitive conditions and sectors’ productive efficiency: A conditional non-parametric frontier analysis," European Journal of Operational Research, Elsevier, vol. 276(3), pages 1104-1118.
    16. Hamid Baghestani & Jorg Bley, 2020. "Do directional predictions of US gasoline prices reveal asymmetries?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(2), pages 348-360, April.
    17. Jonathan E. Ogbuabor & God'stime O. Eigbiremolen & Charles O. Manasseh & Ifeoma C. Mba, 2018. "Asymmetric Price Transmission and Rent‐seeking in Road Fuel Markets: A Comparative Study of South Africa and Selected Eurozone Countries," African Development Review, African Development Bank, vol. 30(3), pages 278-290, September.
    18. Bakhat, Mohcine & Rosselló, Jaume & Sansó, Andreu, 2022. "Price transmission between oil and gasoline and diesel: A new measure for evaluating time asymmetries," Energy Economics, Elsevier, vol. 106(C).
    19. Cook, Steven & Fosten, Jack, 2019. "Replicating rockets and feathers," Energy Economics, Elsevier, vol. 82(C), pages 139-151.

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    More about this item

    Keywords

    Semiparametric GMM model; Asymmetric gasoline price adjustment; Rockets and feathers hypothesis;
    All these keywords.

    JEL classification:

    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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