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Analyzing The Asymmetric Effects Of Crude Oil Price Changes On China’S Petroleum Product Prices

Author

Listed:
  • XIANCHUN LIAO

    (Business School and Institute of Green Development University of Jinan, Jinan, P. R. China)

  • JUNGHO BAEK

    (��Department of Economics, School of Management University of Alaska Fairbanks Fairbanks, Alaska, USA)

Abstract

As the world’s second-largest crude oil consumer, China depends on imports for approximately 60% and domestic production for approximately 40%, of its oil demand. Therefore, it is very interesting to assess the pass-through effects of both domestic and international crude oil prices to gasoline and diesel prices. After the short- and long-run investigations using the nonlinear autoregressive distributed lag (ARDL) methodology of Shin et al. [Shin, Y, BC Yu and M Greenwood-Nimmo (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework†Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, R Sickels and W Horrace (eds.), pp. 281–314. Springer.], we find overwhelming evidence supporting the asymmetric price transmission mechanism between crude oil prices and gasoline prices in both the short- and long-run. In the case of diesel prices, on the other hand, the asymmetry effects seem likely to be a long-run phenomenon.

Suggested Citation

  • Xianchun Liao & Jungho Baek, 2023. "Analyzing The Asymmetric Effects Of Crude Oil Price Changes On China’S Petroleum Product Prices," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(05), pages 1751-1770, September.
    • Handle: RePEc:wsi:serxxx:v:68:y:2023:i:05:n:s021759081950070x
    DOI: 10.1142/S021759081950070X
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    More about this item

    Keywords

    Asymmetry; China; crude oil; nonlinear ARDL;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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