Use this identifier to quote or link this document: http://hdl.handle.net/2072/261538

Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market
Lovcha, Yuliya; Pérez Laborda, Àlex
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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
2016
33 - Economia
Gasolina
Oferta i demanda
Sèries temporals -- Anàlisi
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/
26 p.
Working Paper
Universitat Rovira i Virgili. Departament d'Economia
Documents de treball del Departament d'Economia;2016-10
         

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