Time lags in the pass-through of crude-oil prices: Big data evidence from the German gasoline market

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dc.contributor.authorFrondel, Manuel
dc.contributor.authorVance, Colin
dc.contributor.authorKihm, Alex
dc.date.accessioned2015-07-22T12:35:28Z
dc.date.available2015-07-22T12:35:28Z
dc.date.issued2015
dc.description.abstractThis 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.en
dc.identifier.urihttp://hdl.handle.net/2003/34161
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7519
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;24/2015en
dc.subjectretail marketsen
dc.subjecterror-correction modelen
dc.subjectcompetitionen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleTime lags in the pass-through of crude-oil prices: Big data evidence from the German gasoline marketen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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