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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