Počet záznamů: 1
Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets
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SYSNO ASEP 0452312 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID
Luňáčková, P. (CZ)Celkový počet autorů 2 Zdroj.dok. Energy Economics. - : Elsevier - ISSN 0140-9883
Roč. 49, č. 1 (2015), s. 1-8Poč.str. 8 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Rockets and feathers ; Asymmetry ; Gasoline ; Crude oil ; Cointegration Vědní obor RIV AH - Ekonomie CEP GP14-11402P GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000356752200001 EID SCOPUS 84923034370 DOI 10.1016/j.eneco.2015.01.013 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2016
Počet záznamů: 1