Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices

Ahmed Atil (1) , Amine Lahiani (1, 2) , Duc Khuong Nguyen (3)

1 ESC Rennes School of Business
2 LEO - Laboratoire d'Économie d'Orleans [UMR7322]
3 IPAG Business School

In this article,we use the recently developed nonlinear autoregressive distributedlags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allowsus to simultaneously test the short-and long-run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner, but the price transmission mechanism is not the same. Important policy implications can be learned from the empirical findings.

Mots clés: Energy price transmission; NARDL model; Asymmetric pass-through

Domaines: Economies et finances

Ahmed Atil, Amine Lahiani, Duc Khuong Nguyen. Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices. Energy Policy, 2014, 65, pp.567-573. ⟨10.1016/j.enpol.2013.09.064⟩. ⟨halshs-01022598⟩