Liquid fuel price adjustment in Greece: a two-stage, threshold cointegration approach
Η προσαρμογή των τιμών υγρών καυσίμων στην Ελλάδα: μια προσέγγιση συνολοκλήρωσης σε δύο στάδια
Malkidis, Stavros
Μαλκίδης, Σταύρος
Τμήμα Οικονομικών Επιστημών (ΠΕ)
Φουντάς, Στυλιανός
Παναγιωτίδης, Θεόδωρος
Greek consumers often complain that fuel prices in the domestic market adjust more quickly
to crude oil price increases than decreases and characterize this pricing pattern as market
power exploitation. This article attempts to investigate the issue of asymmetries in a two-stage
price-adjusting mechanism able to indicate the source of price asymmetries, either in the
refining or in the distribution stage. The sample consists of daily data covering the period of
January 2012 to November 2018 and it has been split into two subsamples due to a structural
break October 2014. Using threshold and momentum models of cointegration at different
stages in the distribution chain, we find that transmission is mostly symmetric for the period
between 2012 and 2014 and asymmetric in the first stage of refining for the recent period
between 2014 and 2018.
