Data for: Forecasting the oil–gasoline price relationship: Do asymmetries help?

Abstract of associated article: According to the Rockets and Feathers Hypothesis (RFH), the transmission mechanism of positive and negative changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting that downstream prices are more reactive to increases than to decreases in upstream prices, little is known about the forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this paper we fill this gap by comparing point, sign and probability forecasts from a variety of Asymmetric-ECM (A-ECM) and Threshold Autoregressive ECM (TAR-ECM) specifications against a standard ECM. Forecasts from A-ECM and TAR-ECM subsume the RFH, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due to incorporating the RFH in predictive models for the prices of gasoline and diesel. We show that, as far as point forecasts are involved, the RFH does not lead to significant improvements, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying.关联论文摘要：根据火箭与羽毛假说（Rockets and Feathers Hypothesis, RFH），原油价格正向与负向波动向汽油价格的传导机制存在非对称性。尽管已有诸多研究证实，下游价格对上游价格上涨的反应程度显著高于其对上游价格下跌的反应，但针对纳入原油至汽油非对称价格传导的计量经济学模型的预测性能，学界仍知之甚少。本文通过对比多种非对称误差修正模型（Asymmetric-ECM, A-ECM）、阈值自回归误差修正模型（Threshold Autoregressive ECM, TAR-ECM）与标准误差修正模型的点预测、符号预测及概率预测结果，填补了这一研究空白。非对称误差修正模型与阈值自回归误差修正模型的预测框架契合火箭与羽毛假说，而标准误差修正模型则假定原油至汽油的价格传导为对称形式。本文量化了在汽油及柴油价格预测模型中纳入火箭与羽毛假说所带来的预测精度增益。研究表明，就点预测而言，火箭与羽毛假说并未带来显著的精度提升，但其可用于生成精度更高的符号预测与概率预测。最后，本文指出，所估计模型的预测性能具有时变性特征。