Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

Stanislav Radchenko ()

Industrial Organization from University Library of Munich, Germany

Abstract: This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating.

Keywords: gasoline price response; asymmetric response; search theory (search for similar items in EconPapers)
JEL-codes: L (search for similar items in EconPapers)
Pages: 39 pages
Date: 2004-08-04
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 39
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpio:0408001

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