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Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model

机译：美国原油价格对石油产品价格的不对称影响：多阈值非线性自回归分布滞后模型的应用

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摘要

By using a multiple threshold nonlinear autoregressive distributed lag model, this paper assesses the nonlinear relationship among crude oil and petroleum product prices in the United States. While the assessment of the asymmetric impact on petroleum product prices based on the upward and downward movement of crude prices is well documented in the literature, the contribution of this paper is in splitting the crude price fluctuation in multiple partial sum series, which allows for a more detailed and minute analysis of the relationship. Apart from confirmation of nonlinear influences, we also found the presence of a relatively high asymmetric impact at the lower quantiles of crude oil price changes. This implies that the benefits of sharp reductions of crude prices are, in general, not transferred to various petroleum products. (C) 2015 Elsevier B.V. All rights reserved.
机译：通过使用多阈值非线性自回归分布滞后模型，本文评估了美国原油和石油产品价格之间的非线性关系。虽然文献中充分记录了基于原油价格的向上和向下移动对石油产品价格的不对称影响的评估，但本文的作用是将原油价格波动分为多个部分和系列，从而可以关系的更详细和细致的分析。除了确认非线性影响之外，我们还发现在较低的原油价格变化分位数下存在相对较高的不对称影响。这意味着，原油价格大幅下跌的收益通常不会转移到各种石油产品上。 （C）2015 Elsevier B.V.保留所有权利。

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