Asymmetric pass through of oil prices to gasoline and natural gas prices
School of Science and Technology, MSc in Energy Management
The objective of this dissertation was to investigate the asymmetric pass-through of oil prices to natural gas and gasoline prices under the non-linear autoregressive distributed lags (NARDL) modelling approach proposed by Shin et al. (2013). Both short- and long-run non-linearities were tested for by deriving the positive and negative partial sum decompositions of the dependent variables. In addition, it was feasible through the econometric analysis to quantify the respective responses to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicated an asymmetric relationship in most of the cases, yet with a different price transmission mechanism each time. These findings can have significant policy implications as well.