The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

Erwan Gautier (1) , Ronan Le Saout (2)

1 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique
2 ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique

Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a M-shape as predicted by an adjustment cost model. Using a reduced form statedependent pricing model with time-varying random thresholds, we find that the degree of pass through of wholesale prices to retail gasoline prices is on average 0:77 for diesel and 0:67 for petrol. The duration for a shock to be fully transmitted into prices is about 10 days. There is no significant asymmetry in the transmission of wholesale price to retail prices.

Mots clés: price stickiness; adjustment costs; (S; s) models; gasoline price

Domaines: Economies et finances; Gestion et management

Erwan Gautier, Ronan Le Saout. The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data. 2012. ⟨hal-00759095⟩