This paper analyses the adjustment of gasoline prices in response to shocks in crude oil prices. We show that the nature of the dynamic relationship between crude oil and gasoline prices changes in February 1999. For the pre-February 1999 and the post-February 1999 sample we estimate a Threshold...

The change in investment and output in response to changing energy prices depends on whether energy prices increase or decrease. In the literature, this asymmetry is attributed to irreversibility of investment and uncertainty with respect to energy prices. The empirical literature does not...

This paper sheds new light on the asymmetric short-run dynamics of US gasoline prices. The odel is inspired by Pindyck’s inventory model of commodity price dynamics, that stresses the importance of volatility in crude oil markets for short-run market dynamics. We show that after February 1999...