Data for: Rockets and feathers meet Joseph: Reinvestigating the oil–gasoline asymmetry on the international markets

Abstract of associated article: We reinvestigate the “rockets and feathers” effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium value much more slowly than would be typical for the error-correction model. Such dynamics is usually referred to as “the Joseph effect”. The standard procedure is shown to be troublesome and we introduce two new tests to investigate possible asymmetry in the price adjustment to equilibrium under these complicated time series characteristics. On the dataset of seven national gasoline prices, we find no statistically significant asymmetry. The proposed methodology is not limited to the gasoline and crude oil case but it can be utilized for any asymmetric adjustment analysis.关联论文摘要：我们在分整、长期记忆性与临界（非）平稳性的全新框架下，重新考察零售汽油价格与原油价格之间的“火箭与羽毛”效应（rockets and feathers effect）。我们对最常用的误差修正模型（error-correction model）展开细致检验，发现价格回归均衡值的速度远慢于该模型下的常规情形。这类动态特性通常被称为“约瑟夫效应”（Joseph effect）。现有标准检验流程被证明存在局限，我们据此提出两种全新检验方法，以在这类复杂时间序列特征下探究价格向均衡调整过程中可能存在的非对称性。基于涵盖7个国家汽油价格的数据集，我们未发现具有统计显著性的非对称调整现象。本文提出的研究方法并不局限于汽油与原油价格场景，可推广应用于任意非对称调整分析场景。