Inventories and upstream gasoline price dynamics

Gerard H. Kuper*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

11 Citations (Scopus)

Abstract

This paper sheds new light on the asymmetric dynamics in upstream U.S. gasoline prices. The model is based on Pindyck's inventory model of commodity price dynamics. We show that asymmetry in gasoline price dynamics is caused by changes in the net marginal convenience yield: higher costs of marketing and storage lead to rising gasoline prices, whereas a drop in these costs lowers gasoline prices. The former effect is stronger. This indicates asymmetric dynamics. We also analyze the asymmetry across the sample by analyzing recursive and rolling regressions. (C) 2011 Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)208-214
Number of pages7
JournalEnergy Economics
Volume34
Issue number1
DOIs
Publication statusPublished - Jan-2012

Keywords

  • Asymmetry
  • Gasoline prices
  • Inventories
  • Volatility
  • CONVENIENCE YIELD
  • CRUDE-OIL
  • ECONOMETRIC-MODELS
  • UNIT-ROOT
  • VOLATILITY
  • MARKETS
  • TRANSMISSION
  • FUTURES
  • TESTS
  • POWER

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