Arbeitspapier
Time lags in the pass-through of crude-oil prices: Big data evidence from the German gasoline market
This note investigates the pass-through of global Brent oil notations to fuel prices across the oligopoly of retail majors in Germany. We assemble a high-frequency panel data set that encompasses millions of price observations and allows us to distinguish effects by brand. Upon establishing a cointegrating relationship between fuel and crude-oil prices using daily data, we estimate an error-correction model (ECM) and find that (1) the pass-through of oil prices critically depends on the number of time lags included in the ECM, (2) strict adherence to classical information criteria for determining lag length yields extremely long pass-through durations, and (3) the estimated impulse response functions are virtually identical across brands, irrespective of the lag count, suggesting a high degree of competition among brands.
- ISBN
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978-3-86788-659-8
- Language
-
Englisch
- Bibliographic citation
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Series: Ruhr Economic Papers ; No. 573
- Classification
-
Wirtschaft
Consumer Economics: Empirical Analysis
Energy: Demand and Supply; Prices
- Subject
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retail markets
competition
error-correction model
- Event
-
Geistige Schöpfung
- (who)
-
Frondel, Manuel
Vance, Colin
Kihm, Alex
- Event
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Veröffentlichung
- (who)
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Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (where)
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Essen
- (when)
-
2015
- DOI
-
doi:10.4419/86788659
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Frondel, Manuel
- Vance, Colin
- Kihm, Alex
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Time of origin
- 2015
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