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ASYMMETRIC COINTEGRATION (2) answer(s).
 
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ID:   180163


Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports / Kolesnikova, Anna   Journal Article
AnnaKolesnikova Journal Article
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Summary/Abstract Using monthly data of 79 Russian regions from 2003 to 2017, we study the long-run relationship of the retail gasoline prices with the crude oil price and the nominal exchange rate. We find that models that were successfully applied to deal with asymmetries in other countries are not suitable for Russia without taking structural breaks into account. Once breaks are allowed, we find that there is no asymmetry in the long-run elasticities between the gasoline prices and the crude oil price, and no significant hysteresis. However, there is an asymmetric relation between the gasoline price and the exchange rate that has decreased over time. These results also hold after several robustness checks. The evidence reported in this work shows that the effects of the exchange rate on gasoline prices are much more difficult to control than the oil price, and they require a larger set of policy measures: the recent development of a plan to decrease the importance of hydrocarbons exports by producing clean hydrogen using electrolysis and pyrolysis and the potential future export of electricity generated using nuclear power and onshore wind farms may help to diversify the local economy and to shield it from new sanctions.
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2
ID:   137728


Systemic risk; contagion; energy sector; OTC commodity derivatives; EMIR / Bagnai, Alberto; Ospina, Christian Alexander Mongeau   Article
Bagnai, Alberto Article
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Summary/Abstract Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities, as well as the presence of hysteresis in the pricing behaviour. The estimation results confirm the presence of asymmetry in the long-run elasticities, with significant differences between the crude price and the exchange rate, as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price.
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