ABSTRACT

The purpose of the paper is to test the hypothesis about asymmetric price transmission between the fuel markets. The distribution chain is considered at three levels: the European wholesale market, the domestic wholesale market, and the domestic retail market. It is shown that between the European and domestic wholesale markets fuel prices adjust symmetrically and asymmetrically between the domestic wholesale market and the retail market. This finding confirms that the most probable cause of asymmetric price adjustments (especially in new EU member states) is the behaviour of petrol stations and not of oil companies. The empirical analysis is conducted using an appropriately modified Hansen-Seo method. The procedure, which has until recently been used to estimate bivariate threshold models, prevents the presence of the constant in the cointegrating vector entailing the risk of severe distortion of the estimation results. Moreover, the interpretation of a dummy variable present in the CVAR equation as a result of a data generating process distortion is limited by its presence in the cointegration space.

摘要

本文的目的是检验燃料市场之间价格不对称传递的假设。分销链分为三个层次：欧洲批发市场，国内批发市场和国内零售市场。结果表明，欧洲和国内批发市场之间的燃料价格在国内批发市场和零售市场之间对称和非对称地调整。这一发现证实，价格调整不对称的最可能原因（尤其是在新的欧盟成员国）是加油站的行为，而不是石油公司的行为。使用适当修改的Hansen-Seo方法进行实证分析。该程序直到最近才被用于估计双变量阈值模型，防止在协整向量中存在常数，从而可能导致估计结果严重失真的风险。而且，由于数据在生成变量中的存在，CVAR方程中存在的虚拟变量的解释受到其在协整空间中的存在的限制。