| bibtype |
J -
Journal Article
|
| ARLID |
0452312 |
| utime |
20240103211417.7 |
| mtime |
20151216235959.9 |
| WOS |
000356752200001 |
| SCOPUS |
84923034370 |
| DOI |
10.1016/j.eneco.2015.01.013 |
| title
(primary) (eng) |
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250426 |
| ISSN |
0140-9883 |
| title
|
Energy Economics |
| volume_id |
49 |
| volume |
1 (2015) |
| page_num |
1-8 |
| publisher |
|
|
| keyword |
Rockets and feathers |
| keyword |
Asymmetry |
| keyword |
Gasoline |
| keyword |
Crude oil |
| keyword |
Cointegration |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
A |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0302767 |
| name1 |
Luňáčková |
| name2 |
P. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GP14-11402P |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0303546 |
|
| project |
| project_id |
GAP402/11/0948 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0284442 |
|
| abstract
(eng) |
We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium value much more slowly than would be typical for the error-correction model. Such dynamics is usually referred to as "the Joseph effect". The standard procedure is shown to be troublesome and we introduce two new tests to investigate possible asymmetry in the price adjustment to equilibrium under these complicated time series characteristics. On the dataset of seven national gasoline prices, we find no statistically significant asymmetry. The proposed methodology is not limited to the gasoline and crude oil case but it can be utilized for any asymmetric adjustment analysis. |
| reportyear |
2016 |
| RIV |
AH |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122141350.8 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0253706 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.257 |
| mrcbT16-s |
2.812 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
74.9 |
| mrcbT16-C |
93.768 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1* |
| arlyear |
2015 |
| mrcbTft |
\nSoubory v repozitáři: kristoufek-0452312.pdf |
| mrcbU14 |
84923034370 SCOPUS |
| mrcbU34 |
000356752200001 WOS |
| mrcbU63 |
cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 49 č. 1 2015 1 8 Elsevier |
|