Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way

摘要: In the past decade changes in oil prices have played a significant role shaping inflation dynamics US and euro area, largely through their direct effect on fuels prices, reviving controversy over whether of petroleum products respond more promptly to positive than negative price shocks. This paper provides fresh evidence this issue for US, area four largest countries (Germany, France, Italy Spain), both petrol diesel prices. Inference is based dynamic response downstream upstream shocks, rather tests regression slopes as majority existing studies, taking into account non-linearity impulse function models with asymmetric adjustment, so far ignored literature. The empirical analysis shows that very some heterogeneity across countries, no systematic asymmetries emerges. result robust periods high low volatility holds standard large