Abstract
Over the last decades a transition from a state-own monopoly to a private business took place in the Spanish fuel sector. To figure out whether downstream prices react differently to upstream price increases than to price decreases, alternative dynamic nonlinear and asymmetric error correction models are applied to weekly price data. This paper analyse the existence of price asymmetries in the fuel market in Spain during the 2011-2016 period. In comparison with traditional asymmetric price theory literature, this paper introduces a new double threshold error correction (ECM) model (DT-ECM) and new double logistic ECM models and compares them with more common linear ECM, time varying parameter models (TV-ECM), threshold autoregressive models (T-ECM), smooth transition autoregressive (STAR) models and nonlinear error correction (Logistic-ECM) and double threshold Logistic (DT-Logistic ECM). The nonlinear and asymmetric results found show that sophisticated bivariate long-run asymmetries are present in the prices of the fuel sector and that those price reactions depend on whether the oil price increases or decreases, on the stage of the production, the distribution chain as well as on the period considered.
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El profesor
Álvaro Escribano es Ph.D. en Economics de University of California San Diego. Catedrático de Economía Aplicada, Universidad Carlos III de Madrid (UC3M) desde 1998. Titular de la Cátedra UC3M de Internacionalización desde 2016. Director de la Escuela Internacional Carlos III, UC3M desde 2015. Director del Master in Industrial Economics and Markets at UC3M desde 1995. Titular de la Cátedra Telefónica-UC3M de “Economía de las Telecomunicaciones” 2001-2015. Vice-Rector de Relaciones Internacionales, UC3M 2007-2015. Decano de la Facultad de Ciencias Sociales y Jurídicas, UC3M 2001- 2003. Editor Asociado de la European Economic Review 2003-2006, Macroeconomic Dynamics desde 1996 y Studies in Nonlinear Dynamics and Econometrics desde 2006. Consultor del Banco Mundial 2004-2011 sobre “Investment Climate Assessments (ICA) on Productivity and Economic Performance based on Firm Level Data from Latin America, Central Europe Asia and Africa”. Asesor de Economía: Modelo MOISES 1987-1990, Ministerio de Economía y Planificación. Con un sin número de publicaciones en prestigiosos journals internacionales.