Testing for Short and Long-Run Asymmetric Reponses and Structural Breaks in the Retail Gasoline Supply Chain

This research examines the short-run and long-run relationship between the retail gasoline price, the spot gasoline price, and the price of West Texas Intermediate (WTI) crude oil along the gasoline supply chain. We find mixed evidence of short-run asymmetry in all stages of the retail gasoline supply chain. We fail to reject long-run symmetry at each stage of the retail gasoline supply chain. Additionally, we find a significant structural break in the crude oil-spot gasoline relationship after October 17, 2005. There is weak evidence of long-run oil price endogeneity after October 17, 2005. This structural change reverses the direction of short-run asymmetry between these two time series after the break. We find no significant structural break in the spot gasoline-retail gasoline relationship.