Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
권호 표지
DOI QR코드

DOI QR Code

An Effect of Volatility of Crude Oil Price on Asymmetry of Domestic Gasoline Price Adjustment

국제 유가 변동성이 국내 휘발유 가격 비대칭성에 미치는 영향

  • Nam-Jae Kim (Department of Economics, Kangwon National University) ;
  • Hyung-Gun Kim (Division of Economics & Information Statistics, Kangwon National University)
  • 김남제 (강원대학교 경제학과 ) ;
  • 김형건 (강원대학교 경제.정보통계학부 )
  • Received : 2023.02.28
  • Accepted : 2023.03.25
  • Published : 2023.03.31
Download PDF
⟨ Previous Next ⟩

Abstract

Purpose - This study examines the effects of Dubai oil price and the volatility on the asymmetry of domestic gasoline price adjustment. Additionally, the study investigates the effects of "Altteul" gas-station and tax-cut policies on asymmetry. Design/methodology/approach - Firstly, the study calculates proxies for asymmetry and volatility of each window(every 3-month) by error-correction model and GARCH(1, 1) using daily domestic gas price and Dubai oil price from 2008/04/15 to 2022/12/31. Secondly, the study investigates the effects of the increasing rate of Dubai oil price, volatility, "Altteul" gas-station and tax-cut policies on asymmetry. The autoregressive distributed lag regression model is employed for estimations. Findings - The study finds that changes in the increasing rate of Dubai oil price and both types of volatility of Dubai oil price increase asymmetry. While "Altteul" gas-station and tax-cut policies decrease asymmetry. Additionally, the study fails to find that asymmetry in the Korean gasoline market in the estimation with total observations. Research implications or Originality - An increase in Dubai oil price volatility means an increase in cost uncertainty for gas-station owners. Since cost uncertainty is a kind of financial risk, the increase in volatility reinforces the asymmetry. The study provides supporting evidence for the idea.

Keywords

References

  1. 김형건 (2022), "국내 유가에 대한 국내 휘발유의 가격 조정 분석: 분위수 자기회귀시차분포 모형을 사용하여", 자원.환경경제연구, 31(4), 755-775.
  2. 오선아, 최고봉, 허은녕 (2015), "국내 석유제품시장의 가격비대칭과 시장지배력 연구", 에너지경제연구, 14(3), 1-25. https://doi.org/10.22794/KEER.2015.14.3.001
  3. 정준환, 이지연, 김형건 (2013), "알뜰주유소 전환으로 인한 자영주유소의 휘발유가격 인하효과 분석", 에너지경제연구, 12(1), 125-158. https://doi.org/10.22794/KEER.2013.12.1.006
  4. Borenstein, S. and A. C. Cameron, R. Gilbert (1997), "Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?", The Quarterly Journal of Economics, 112(1), 305-339. https://doi.org/10.1162/003355397555118
  5. Dickey, D. A. and W. A. Fuller (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  6. Elliott, G., T. J. Rothenberg and J. H. Stock (1996), "Efficient Tests for an Autoregressive Unit Root", Econometrica, 64(4), 813-836. https://doi.org/10.2307/2171846
  7. Granger, C. W. J. and T. H. Lee (1989), "Investigation of Production, Sales and Inventory Relationships using Multicointegration and Non-symmetric Error Correction Models", Journal of Applied Econometrics, 4(SI), S145-S159. https://doi.org/10.1002/jae.3950040508
  8. Hong, W. H. and D. Lee (2020), "Asymmetric Pricing Dynamics with Market Power: Investigating Island Data of the Retail Gasoline Market", Empirical Economics, 58(5), 2181-2221. https://doi.org/10.1007/s00181-018-1614-5
  9. Koh K., S. Jeon and J. Lee(2022), "The Effects of Price Competition on Firms' Operations and Market Price: Evidence from a Retail Gasoline Market", Energy Economics, 108(c).
  10. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt and Y. Shin (1992), "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?", Journal of Econometrics, 54, 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
  11. Lee, K., S. Ni and R. A. Ratti (1995), "Oil Shocks and the Macroeconomy: The Role of Price Variability", Energy Journal, 16(4), 39-56. https://doi.org/10.5547/ISSN0195-6574-EJ-Vol16-No4-2
  12. Meyer, J. and S. von Cramon-Taubadel (2004), "Asymmetric Price Transmission: A Survey", Journal of Agricultural Economics, 33(3), 581-611. https://doi.org/10.1111/j.1477-9552.2004.tb00116.x
  13. Park, J. Y. (1992), "Canonical Cointegrating Regressions", Econometrica, 60(1), 119-143. https://doi.org/10.2307/2951679
  14. Peltzman, S. (2000), "Price Rise Faster than They Fall", The Journal of Political Economy, 108(3), 466-502. https://doi.org/10.1086/262126
  15. Phillips, P. C. B. and P. Perron (1988), "Testing for a Unit Root in Time Series Regression", Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  16. Pindyck, R. S. (2004), "Volatility in Natural Gas and Oil Markets", The Journal of Energy and Development, 30(1), 1-19.
  17. Radchenko, S. (2005), "Oil Price Volatility and the Asymmetric Resoponse of Gasoline Prices to Oil Price Increases and Decreases", Energy Economics, 27(5), 708-730. https://doi.org/10.1016/j.eneco.2005.06.001
  18. Sadorsky, P. (1999), "Oil Price Shocks and Stock Market Activity", Energy Economics, 21(5), 449-469. https://doi.org/10.1016/S0140-9883(99)00020-1