ASYMMETRY IN RETAIL GASOLINE AND CRUDE OIL PRICE MOVEMENTS IN THE UNITED STATES: AN APPLICATION OF HIDDEN COINTEGRATION TECHNIQUE

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Biofuel-related price transmission literature: A review (2013, background): “Such nonlinearities have been found to characterize both nonenergy and energy commodity prices (Balcombe and Rapsomanikis, 2008; Holt and Craig, 2006; Honarvar, 2009; Nazlioglu, 2011; Peri and Baldi, 2010; Radchenko, 2005; Serra et al., 2011a).”
Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices (2014, unknown): “This asymmetric price interaction, initially discovered by Bacon (1991) as the “rockets and feathers” effects, then more or less confirmed by various studies (e.g., Borenstein et al., 1997; Bachmeier and Griffin, 2003; Chen et al., 2005; Grasso and Manera, 2007; Blair and Rezek, 2008; Meyler, 2009; ”
Modelling oil price-inflation nexus: The role of asymmetries (2017, background): “Recent papers dealing with asymmetries in oil price modelling include Honarvar (2009) [with focus on retail gasoline and crude oil price movements], Herrera et al (2015) and Nusair (2016) [modelling oil price and the macroeconomy], Malikov(2016) [with focus on dynamic responses to oil price…”