Title:
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Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market
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Author:
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Lovcha, Yuliya; Pérez Laborda, Àlex
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
Abstract:
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A structural multivariate long memory model of the US gasoline market is
employed to disentangle structural shocks and to estimate the own-price elasticity of
gasoline demand. Our main empirical findings are: 1) there is strong evidence of nonstationarity
and mean-reversion in the real price of gasoline and in gasoline
consumption; 2) accounting for the degree of persistence present in the data is essential
to assess the responses of these two variables to structural shocks; 3) the contributions
of the different supply and demand shocks to fluctuations in the gasoline market vary
across frequency ranges; and 4) long memory makes available an interesting range of
convergent possibilities for gasoline demand elasticities. Our estimates suggest that
after a change in prices, consumers undertake a few measures to reduce consumption in
the short- and medium-run but are reluctant to implement major changes in their
consumption habits.
Keywords: fractional integration, gasoline demand, price elasticity, structural model
Classification: Q41, Q43, C32 |
Publication date:
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2016 |
Subject (UDC):
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33 - Economia |
Subject(s):
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Gasolina Oferta i demanda Sèries temporals -- Anàlisi |
Rights:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Pages:
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26 p. |
Document type:
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Working Paper |
Published by:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2016-10
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