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Activity Number: 460
Type: Contributed
Date/Time: Wednesday, August 6, 2014 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #311154 View Presentation
Title: Modeling Asymmetries in the Market for Gasoline in Western Canadian Cities
Author(s): David Giles*+
Companies: University of Victoria
Keywords: Gasoline price forecasting ; ARDL models ; Non-stationary time-series ; Cointegration ; Asymmetric responses ; ACB models
Abstract:

This paper tests for, and models, asymmetric pricing behaviour in the retail and wholesale markets for gasoline in 6 Canadian cities. Non-stationary daily time-series data are used. Autoregressive distributed lag models, and bounds tests, are adopted to test for long-run relationships between daily crude oil, wholesale gasoline, and retail gasoline prices, and to test for the presence of asymmetries in changes in these prices. Autoregressive conditional binomial models are used to test alternative economic hypotheses regarding the reasons for the observed price stickiness in these markets. Finally, we assess alternative forecast models for retail gasoline prices.


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