Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling
文献类型：期刊论文
| 作者 | Sun, Yuying2,3 ; Zhang, Xun2,3; Hong, Yongmiao1,4; Wang, Shouyang2,3,5
|
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 2019-02-01 |
| 卷号 | 78页码:165-173 |
| 关键词 | Asymmetry Crude oil prices Gasoline prices Threshold autoregressive interval-valued regression Volatility |
| ISSN号 | 0140-9883 |
| DOI | 10.1016/j.eneco.2018.10.027 |
| 英文摘要 | Modelling and analyzing the pass-through of crude oil prices to retail gasoline prices has received an increasing attention in existing literature. However, most of the ongoing efforts focus on point-valued data, which may suffer from the informational loss. This paper first employs the threshold autoregressive interval valued (TARI) models developed recently by Sun et al. (2018a) to investigate this transmission, and proposes a novel consistent interval-based test to detect threshold effects, and derives its asymptotic properties. These interval-based TARI model and test, superior to traditional point-based methods, can produce more efficient parameter estimation and more powerful inference due to the informational gain of interval data. That is, interval data simultaneously contain more information (e.g., trend and volatility) than point-valued data during the same period. Empirical results suggest that retail gasoline prices are adjusted upwards faster than downwards, and this short-run asymmetry is statistically significant during the whole sample. Our findings reveal that both the level and volatility of oil prices have a positive impact on the price of gasoline, which contributes to the asymmetries in the transmission of oil price shocks. These results are robust before and after financial crisis. Furthermore, it is interesting to find that after financial crisis, both the error correction adjustment speeds and the asymmetries decrease. (C) 2018 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[7041100] ; National Natural Science Foundation of China[71422015] ; National Natural Science Foundation of China[71642006] ; Fujian Provincial Key Laboratory of Statistics, Xiamen University[201601] ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000462105100011 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34288]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhang, Xun |
| 作者单位 | 1.Cornell Univ, Dept Stat Sci, Ithaca, NY 14850 USA 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 4.Cornell Univ, Dept Econ, Ithaca, NY 14850 USA 5.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Yuying,Zhang, Xun,Hong, Yongmiao,et al. Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling[J]. ENERGY ECONOMICS,2019,78:165-173. |
| APA | Sun, Yuying,Zhang, Xun,Hong, Yongmiao,&Wang, Shouyang.(2019).Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling.ENERGY ECONOMICS,78,165-173. |
| MLA | Sun, Yuying,et al."Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling".ENERGY ECONOMICS 78(2019):165-173. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。