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    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

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

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Asymmetric price adjustment in the US gasoline industry : evidence from Bayesian threshold dynamic panel data models. / Polemis, Michael L.; Tsionas, Mike G.

In: International Journal of the Economics of Business, Vol. 24, No. 1, 01.2017, p. 91-128.

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Polemis, Michael L. ; Tsionas, Mike G. / Asymmetric price adjustment in the US gasoline industry : evidence from Bayesian threshold dynamic panel data models. In: International Journal of the Economics of Business. 2017 ; Vol. 24, No. 1. pp. 91-128.

Bibtex

@article{61f8e0bd79064944ac49887b94c8930f,
title = "Asymmetric price adjustment in the US gasoline industry: evidence from Bayesian threshold dynamic panel data models",
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.",
keywords = "Asymmetric Price Adjustment, Gasoline Industry, Non-linear Threshold PVECM, Bayesian Techniques, {\textquoteleft}Rockets and feathers{\textquoteright} Hypothesis",
author = "Polemis, {Michael L.} and Tsionas, {Mike G.}",
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",
year = "2017",
month = jan
doi = "10.1080/13571516.2016.1221628",
language = "English",
volume = "24",
pages = "91--128",
journal = "International Journal of the Economics of Business",
issn = "1357-1516",
publisher = "Routledge",
number = "1",

}

RIS

TY - JOUR

T1 - Asymmetric price adjustment in the US gasoline industry

T2 - evidence from Bayesian threshold dynamic panel data models

AU - Polemis, Michael L.

AU - Tsionas, Mike G.

N1 - 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

PY - 2017/1

Y1 - 2017/1

N2 - 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.

AB - 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.

KW - Asymmetric Price Adjustment

KW - Gasoline Industry

KW - Non-linear Threshold PVECM

KW - Bayesian Techniques

KW - ‘Rockets and feathers’ Hypothesis

U2 - 10.1080/13571516.2016.1221628

DO - 10.1080/13571516.2016.1221628

M3 - Journal article

VL - 24

SP - 91

EP - 128

JO - International Journal of the Economics of Business

JF - International Journal of the Economics of Business

SN - 1357-1516

IS - 1

ER -