원유가격 변화에 대한 한국 휘발유 가격의 비대칭적 반응The Asymmetric Response of Korean Gasoline Prices to Changes in Crude Oil Prices
- Other Titles
- The Asymmetric Response of Korean Gasoline Prices to Changes in Crude Oil Prices
- Authors
- 임보람; 한두봉; 이지용
- Issue Date
- 2018
- Publisher
- 한국환경정책학회
- Keywords
- EGARCH; PARCH; 비대칭적 반응; 한국 휘발유 가격; 원유가격; EGARCH; PARCH; Asymmetric Response; Korean Gasoline Price; Crude Oil Price
- Citation
- 환경정책, v.26, no.2, pp.121 - 146
- Indexed
- KCI
- Journal Title
- 환경정책
- Volume
- 26
- Number
- 2
- Start Page
- 121
- End Page
- 146
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/79597
- DOI
- 10.15301/jepa.2018.26.2.121
- ISSN
- 1598-835X
- 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.
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Collections - College of Life Sciences and Biotechnology > Department of Food and Resource Economics > 1. Journal Articles
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