Original paper
Do directional predictions of US gasoline prices reveal asymmetries?
Abstract
This study employs a directional forecasting approach to re-examine the possible “rockets and feathers” effect, using monthly crude oil and US retail gasoline prices for 1986–2018. We show that, for 1986–1999 (2000–2018), changes in crude oil prices accurately predict directional change in gasoline prices under symmetric (asymmetric) loss. This means that our results lend support to the “rockets and feathers” effect only for 2000–2018. For this...
Paper Details
Title
Do directional predictions of US gasoline prices reveal asymmetries?
Published Date
Sep 11, 2019
Volume
44
Issue
2
Pages
348 - 360
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History