New Evidence on Asymmetric Gasoline Price Responses
使用1985-1998年日度汽油和原油价格数据估计误差修正模型，发现批发汽油价格不存在不对称性，并指出结果差异源于估计方法和数据频率。
In a 1997 paper, Borenstein, Cameron, and Gilbert (BCG) claim that gasoline prices rise quickly following an increase in the price of crude oil, but fall slowly following a decrease. This note estimates an error-correction model with daily spot gasoline and crude-oil price data over the period 1985-1998 and finds no evidence of asymmetry in wholesale gasoline prices. The sources of the difference in results are twofold. First, we use the standard Engle-Granger two-step estimation procedure, whereas BCG used a nonstandard estimation methodology. Second, even using BCG's nonstandard specification, the use of daily rather than weekly data yields little evidence of price asymmetry. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.