Using monthly data from 1994 to 2012 we study the long-run relation between the pre-tax retail prices of petrol and heating gasoil with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities. The estimation results confirm the presence of a strong asymmetry in the long-run elasticities.

Alberto Bagnai
Gabriele D’Annunzio University
INFER
a/simmetrie

Christian Alexander Mongeau Ospina
a/simmetrie

Keywords: energy prices; asymmetric cointegration.

JEL classification: C53, F32, H62.