Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market

Yuliya Lovcha () and Àlex Pérez Laborda
Authors registered in the RePEc Author Service: Alejandro Perez-Laborda

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: 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

Keywords: Gasolina; Oferta i demanda; Sèries temporals -- Anàlisi; 33 - Economia (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ene
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http://hdl.handle.net/2072/261538

Related works:
Journal Article: Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/261538

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