发帖
雷达卡
Abstract.
In this paper, we review the existing empirical literature on priceasymmetries in commodities, providing a way to classify and compare different
studies that are highly heterogeneous in terms of econometric models, type
of asymmetries and empirical findings. Relative to the previous literature, this
paper is novel in several respects. First, it presents a detailed and updated
survey of the existing empirical contributions on price asymmetries in the
transmission mechanism linking input prices to output prices. Second, this paper
presents an extension of the traditional distinction between long-run and shortrun
asymmetries to new categories of asymmetries, such as: contemporaneous
impact, distributed lag effect, cumulated impact, reaction time, equilibrium
and momentum equilibrium adjustment path, regime effect, regime equilibrium
adjustment path. Each empirical study is then critically discussed in the light of
this new classification of asymmetries. Third, this paper evaluates the relative
merits of the most popular econometric models for price asymmetries, namely
autoregressive distributed lags, partial adjustments, error correction models,
regime switching and vector autoregressive models. Finally, we use the metaregression
analysis to investigate whether the results of asymmetry tests are
not model-invariant and find which additional factors systematically influence
the rejection of the null hypothesis of symmetric price adjustment. The main
results of our survey can be summarized as follows: (i) each econometric
model is specialized to capture a subset of asymmetries; (ii) each asymmetry
is better investigated by a subset of econometric models; (iii) the general
significance of the F test for asymmetric price transmission depends mainly on
characteristics of the data, dynamic specification of the econometric model, and
market characteristics. Overall, our empirical findings confirm that asymmetry, in
all its forms, is very likely to occur in a wide range of markets and econometric
models.
Key words.
Cointegration; Meta-regression analysis; Partial adjustment; Priceasymmetries; Threshold regime switching
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