Time lags in the pass-through of crude oil prices: big data evidence from the German gasoline market
This article investigates the pass-through of global Brent oil notations to fuel prices across the oligopoly of retail majors in Germany. We assemble a high-frequency panel data set that encompasses millions of price observations and allows us to distinguish effects by brand. Upon establishing a cointegrating relationship between fuel and crude oil prices using daily data, we estimate an ECM and find that (1) the pass-through of oil prices critically depends on the number of time lags included in the ECM; (2) strict adherence to classical information criteria for determining lag length yields extremely long pass-through durations and (3) the estimated impulse response functions are virtually identical across brands, irrespective of the lag count, suggesting a high degree of competition among brands.
Frondel, M., C. Vance Ph.D. und A. Kihm (2016), Time lags in the pass-through of crude oil prices: big data evidence from the German gasoline market. Applied Economics Letters , 23, 10, 713-717