"Asymmetric asymmetries" in Eurozone markets gasoline pricing

Building on the well-established “rockets and feathers” literature, and on the recently developed nonlinear autoregressive distributed lag (NARDL) modelling, we investigate the asymmetries in gasoline pricing on a comprehensive sample of monthly data from twelve Eurozone countries running from 1999:1 to 2014:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display a positive asymmetry (i.e., devaluations have a greater effect with respect to revaluations), crude price variations induce negative asymmetry (i.e., reductions in the price of crude oil have a greater effect than price rises). Secondly, the positive asymmetry to exchange rate changes is stronger in core Eurozone countries. The negative asymmetry with respect to crude oil prices confirms the results of recent empirical research and theoretical models. The different behavior between Eurozone core and periphery provides further insights in the nature of pricing asymmetries.