원유가격 변화에 대한 한국 휘발유 가격의 비대칭적 반응

Abstract

The asymmetric relationship between the prices of crude oil and gasoline has been described as “rockets and feathers.” This study examines the relationship between the prices of Dubai crude oil and Korean gasoline using the error correction model (ECM). To account for time-varying heteroscedasticity in the asymmetric ECM, this study applies the ECM exponential generalized autoregressive conditional heteroscedasticity (EGARCH) and ECM power autoregressive conditional heteroscedasticity (PARCH) models. The results show evidence of the asymmetric responses of Korean gasoline prices to Dubai oil price shocks in daily data. Specifically, positive price shocks in Dubai oil prices have a greater impact on domestic gasoline prices compared to negative price shocks. This suggests that the asymmetric gasoline price responses to crude oil price may be induced by the oligopolistic market structure of refiners.