Exploring the non-linear road from oil to consumer energy prices: no much asymmetry along the way
نویسنده
چکیده
In the past decade changes in oil prices have played a significant role in shaping inflation dynamics in the US and in the euro area, largely through their direct effect on liquid fuels prices. This has revived the controversy on whether fuels consumer prices respond more promptly to positive than to negative oil price shocks. This paper provides fresh evidence on the link between liquid fuels and oil (both crude and refined) prices at the weekly frequency in the US, the euro area and the four largest euro area countries (Germany, France, Italy and Spain) using a structural model that features asymmetric adjustment. Unlike previous papers we take seriously the non-linearity of the impulse response function and examine the response of petrol and diesel prices to shocks of different sizes. The hypothesis of symmetry can almost never be rejected. In the very few cases in which they show up, asymmetries are episodic and extremely short lived, fading out in about week. JEL Codes: C52, Q43, E31
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