Rockets and feathers meet markup margins: Applications to the oil and gasoline industry
研究了原油、批发和零售汽油价格之间的不对称传导，使用门槛协整技术，发现加价差触发机制，不支持市场势力导致的“火箭与羽毛”现象。
Abstract This article investigates the existence of asymmetric price transmission between crude oil, rack (wholesale) and retail gasoline prices. A threshold cointegration technique is used, with regime switches being triggered by the size of the markup margin. There is consistent evidence of band‐TAR in which the crude, rack and retail prices are free to diverge until the markup margin is squeezed or stretched beyond a lower or upper critical threshold. This finding indicates that abnormally high markup margins cannot be sustained, which provides evidence against market power exertion. The threshold error correction models indicate that there is no systematic relationship between the speed of adjustment back to the long‐run relationship and the markup margin, which rules out the existence of “rockets and feathers.”