Data di Pubblicazione:
2014
Citazione:
Forecasting the oil-gasoline price relationship : do asymmetries help? / A. Bastianin, M. Galeotti, M. Manera. - In: ENERGY ECONOMICS. - ISSN 0140-9883. - 46:5 Suppl. 1(2014 Dec), pp. S44-S56.
Abstract:
According to the Rockets and Feathers Hypothesis (RFH), the transmission mechanism of positive and negative
changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many
contributions documenting that downstreamprices are more reactive to increases than to decreases in upstream
prices, little is known about the forecasting performance of econometric models incorporating asymmetric price
transmission from crude oil to gasoline. In this paper we fill this gap by comparing point, sign and probability
forecasts from a variety of Asymmetric-ECM (A-ECM) and Threshold Autoregressive ECM (TAR-ECM)
specifications against a standard ECM. Forecasts from A-ECM and TAR-ECM subsume the RFH, while the ECM
implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due
to incorporating the RFH in predictive models for the prices of gasoline and diesel. We show that, as far as
point forecasts are involved, the RFH does not lead to significant improvements, while it can be exploited to
produce more accurate sign and probability forecasts. Finally, we highlight that the forecasting performance of
the estimated models is time-varying.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
asymmetries; forecasting; gasoline; crude oil; rockets & feathers
Elenco autori:
A. Bastianin, M. Galeotti, M. Manera
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