Lags in the response of gasoline prices to changes in crude oil prices: The role of short-term and long-term shocks

Energy Economics

Volumn 27, Issue 4, 2005, Pages 573-602

  Radchenko, Stanislav ^a  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

Author keywords

Cost shocks; Gasoline prices; Markov switching model

Indexed keywords

APPROXIMATION THEORY; COSTS; CRUDE PETROLEUM; MATHEMATICAL MODELS;

COST SHOCKS; GASOLINE PRICES; MARKET PARTICIPANTS;

GASOLINE;

CRUDE OIL; MARKET CONDITIONS; PETROLEUM; PRICE DETERMINATION;

NORTH AMERICA; UNITED STATES; WESTERN HEMISPHERE; WORLD;

EID: 21644487100     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2005.04.004     Document Type: Article

References (17)

1. M.A. Adelman World oil production and prices 1947-2000 The Quarterly Review of Economics and Finance 42 2002 169-191
2. A. Ang G. Bekaert Regime switches in interest rates Journal of Business & Economic Statistics 20 2 2002 163-182
3. A.S. Blinder E.R. Canetti D.E. Lebow J.B. Ruud Asking About Prices: A New Approach to Understanding Price Stickiness 1998 Sage Foundation New York
4. S. Borenstein A. Shephard Sticky prices, inventories, and market power in wholesale gasoline markets Rand Journal of Economics 33 2002 116-139
5. S. Borenstein A.C. Cameron R. Gilbert Do gasoline prices respond asymmetrically to crude oil price changes? The Quarterly Journal of Economics 112 1997 305-339
6. J.C. Chao P.C.B. Phillips Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior Journal of Econometrics 87 1998 49-86
7. J.C. Chao P.C.B. Phillips Jeffreys prior analysis of the simultaneous equations model in the case with n + 1 endogenous variables Journal of Econometrics 111 2002 251-283
8. S. Chib Calculating posterior distributions and modal estimates in Markov mixture models Journal of Econometrics 75 1996 79-97
9. R. Godby A.M. Lintner T. Stengos B. Wandschneider Testing for asymmetric pricing in the Canadian retail gasoline market Energy Economics 22 2000 349-368
10. B.E. Hansen Sample splitting and threshold estimation Econometrica 68 2000 575-603
11. R.N. Johnson Search costs, lags and prices at the pump Review of Industrial Organization 20 2002 33-50
12. C.-J. Kim C.R. Nelson State-Space Models with Regime Switching: Classical and Gibbs- Sampling Approaches with Applications 1998 The MIT Press
13. W.L. Kohl OPEC behavior, 1998-2001 The Quarterly Review of Economics and Finance 42 2002 209-233
14. Noel, M.D., 2002. Edgeworth price cycles, cost-based pricing and sticky pricing in retail gasoline markets, University of California at San Diego working paper.
15. S. Peltzman Prices rise faster than they fall Journal of Political Economy 108 2000 466-502
16. R.S. Pindyck The dynamics of commodity spot and futures market: A primer The Energy Journal 22 3 2001 1-29
17. Radchenko, S., Tsurumi, H., in press. Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the US gasoline market. Journal of Econometrics.