Home > Research > Publications & Outputs > Asymmetric price adjustment in the US gasoline ...

Electronic data

  • Polemis_Final_corrected EM

    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in International Journal of the Economics of Business on 08/10/2016, available online: http://www.tandfonline.com/10.1080/13571516.2016.1221628

    Accepted author manuscript, 589 KB, PDF-document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

Links

Text available via DOI:

View graph of relations

Asymmetric price adjustment in the US gasoline industry: evidence from Bayesian threshold dynamic panel data models

Research output: Contribution to journalJournal article

Published
Close
<mark>Journal publication date</mark>01/2017
<mark>Journal</mark>International Journal of the Economics of Business
Issue number1
Volume24
Number of pages38
Pages (from-to)91-128
Publication statusPublished
Early online date8/10/16
Original languageEnglish

Abstract

This paper investigates the gasoline price adjustment to changes in the input cost price for a panel of 48 US states using a monthly data set covering the period 1994?2011. We build, for the first time, a non-linear threshold panel vector-error-correction model (PVECM) and propose efficient Markov chain Monte Carlo (MCMC) Bayesian techniques. Our findings indicate that states with high margin experience a slower adjustment and a more asymmetric response to input price cost shocks. Our results are robust to potential structural breaks in the threshold parameter, which is important as market conditions change over time and are very sensitive to production/consumption constraints. Lastly, we attribute fluctuations in the gasoline prices to input cost shocks, arguing that the peak responses occurring one month after the shock are short-lived.

Bibliographic note

This is an Accepted Manuscript of an article published by Taylor & Francis in International Journal of the Economics of Business on 08/10/2016, available online: http://www.tandfonline.com/10.1080/13571516.2016.1221628