Previous studies mostly ignore possible nonlinear behaviors that may be caused by asymmetry, persistence, or structural breaks. This study aims to fill this gap by applying the Nonlinear Autoregressive Distributed Lag technique of Shin et al. [(2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281–314. New York: Springer] to examine the dynamic effect of oil prices on other energy prices based on nonlinear empirical frameworks. We identify how oil prices and four other energy commodity prices behave using daily data from January 07, 1991 to February 25, 2020. The long-run relationships suggest both oil price increases and decreases are significantly and positively related to the prices of all other energy commodities. There seems to be asymmetry in the linkages between oil prices and all the prices of diesel fuel, gasoline, heating oil and natural gas in the long run. Except for natural gas, the effects of oil price increases are significantly larger than are those of oil price decreases. However, in the short run, the results are somewhat different. An asymmetric impact of oil price changes is found for gasoline and the effects of oil price decreases are larger than are those of oil price increases. In our model, the real effective exchange rate of the US dollar is explicitly incorporated to capture the linkages between US dollar fluctuations and energy price movements. We find that the relative weakness of the US dollar strengthens the prices of energy commodities in the global market.

中文翻译：

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石油价格波动和能源商品价格：不对称效应分析

以前的研究大多忽略了可能由不对称、持久性或结构断裂引起的非线性行为。本研究旨在通过应用非线性自回归分布式滞后技术来填补这一空白胫等。[(2014）。在非线性 ARDL 框架中建模非对称协整和动态乘数。在纪念彼得施密特的 Festschrift：计量经济学方法和应用，第 281-314 页。纽约：斯普林格]基于非线性经验框架检验石油价格对其他能源价格的动态影响。我们使用 1991 年 1 月 7 日至 2020 年 2 月 25 日的每日数据来确定石油价格和其他四种能源商品价格的表现。长期关系表明，石油价格的上涨和下跌都与所有其他能源的价格显着正相关商品。从长远来看，油价与柴油、汽油、取暖油和天然气的所有价格之间的联系似乎是不对称的。除天然气外，油价上涨的影响明显大于油价下跌的影响。然而，从短期来看，结果有些不同。发现油价变动对汽油的影响不对称，油价下跌的影响大于油价上涨的影响。在我们的模型中，美元的实际有效汇率被明确纳入以捕捉美元波动与能源价格变动之间的联系。我们发现美元的相对疲软加强了全球市场能源商品的价格。