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Estimating fuel price volatility and spillover effects across different European countries
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| Zeitschriftentitel: | Management & Marketing. Challenges for the Knowledge Society |
|---|---|
| Personen und Körperschaften: | , , |
| In: | Management & Marketing. Challenges for the Knowledge Society, 14, 2019, 4, S. 419-430 |
| Format: | E-Article |
| Sprache: | Englisch |
| veröffentlicht: |
Walter de Gruyter GmbH
|
| Schlagwörter: |
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Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana |
|---|---|
| author |
Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana |
| spellingShingle |
Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana Management & Marketing. Challenges for the Knowledge Society Estimating fuel price volatility and spillover effects across different European countries General Business, Management and Accounting |
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kubinschi, matei |
| spelling |
Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana 2069-8887 Walter de Gruyter GmbH General Business, Management and Accounting http://dx.doi.org/10.2478/mmcks-2019-0029 <jats:title>Abstract</jats:title> <jats:p>This paper analyses the volatility of retail fuel prices in nine different EU countries and the spillover effects between fuel prices across selected countries from Central and Eastern Europe and the Eurozone over the 2008-2019 period. In particular, we use the GARCH-GJR model in order to investigate fuel price volatility and identify potential asymmetric dynamics. Moreover, in order to assess the links between fuel prices across countries, we estimate a VAR model and compute spillover measures using the Generalised Forecast Error Variance Decomposition (GFEVD) approach formulated by Diebold and Yilmaz (2009). Our results provide evidence of weak links between retail fuel prices across EU countries, with slightly higher spillovers originating from some developed economies such as France and Italy.</jats:p> Estimating fuel price volatility and spillover effects across different European countries Management & Marketing. Challenges for the Knowledge Society |
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Estimating fuel price volatility and spillover effects across different European countries |
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Estimating fuel price volatility and spillover effects across different European countries |
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Estimating fuel price volatility and spillover effects across different European countries |
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Estimating fuel price volatility and spillover effects across different European countries |
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Estimating fuel price volatility and spillover effects across different European countries |
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Estimating fuel price volatility and spillover effects across different European countries |
| title_sort |
estimating fuel price volatility and spillover effects across different european countries |
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General Business, Management and Accounting |
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http://dx.doi.org/10.2478/mmcks-2019-0029 |
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2019 |
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419-430 |
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<jats:title>Abstract</jats:title>
<jats:p>This paper analyses the volatility of retail fuel prices in nine different EU countries and the spillover effects between fuel prices across selected countries from Central and Eastern Europe and the Eurozone over the 2008-2019 period. In particular, we use the GARCH-GJR model in order to investigate fuel price volatility and identify potential asymmetric dynamics. Moreover, in order to assess the links between fuel prices across countries, we estimate a VAR model and compute spillover measures using the Generalised Forecast Error Variance Decomposition (GFEVD) approach formulated by Diebold and Yilmaz (2009). Our results provide evidence of weak links between retail fuel prices across EU countries, with slightly higher spillovers originating from some developed economies such as France and Italy.</jats:p> |
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| author | Kubinschi, Matei, Barnea, Dinu, Zlatcu, Iuliana |
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| description | <jats:title>Abstract</jats:title> <jats:p>This paper analyses the volatility of retail fuel prices in nine different EU countries and the spillover effects between fuel prices across selected countries from Central and Eastern Europe and the Eurozone over the 2008-2019 period. In particular, we use the GARCH-GJR model in order to investigate fuel price volatility and identify potential asymmetric dynamics. Moreover, in order to assess the links between fuel prices across countries, we estimate a VAR model and compute spillover measures using the Generalised Forecast Error Variance Decomposition (GFEVD) approach formulated by Diebold and Yilmaz (2009). Our results provide evidence of weak links between retail fuel prices across EU countries, with slightly higher spillovers originating from some developed economies such as France and Italy.</jats:p> |
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| spelling | Kubinschi, Matei Barnea, Dinu Zlatcu, Iuliana 2069-8887 Walter de Gruyter GmbH General Business, Management and Accounting http://dx.doi.org/10.2478/mmcks-2019-0029 <jats:title>Abstract</jats:title> <jats:p>This paper analyses the volatility of retail fuel prices in nine different EU countries and the spillover effects between fuel prices across selected countries from Central and Eastern Europe and the Eurozone over the 2008-2019 period. In particular, we use the GARCH-GJR model in order to investigate fuel price volatility and identify potential asymmetric dynamics. Moreover, in order to assess the links between fuel prices across countries, we estimate a VAR model and compute spillover measures using the Generalised Forecast Error Variance Decomposition (GFEVD) approach formulated by Diebold and Yilmaz (2009). Our results provide evidence of weak links between retail fuel prices across EU countries, with slightly higher spillovers originating from some developed economies such as France and Italy.</jats:p> Estimating fuel price volatility and spillover effects across different European countries Management & Marketing. Challenges for the Knowledge Society |
| spellingShingle | Kubinschi, Matei, Barnea, Dinu, Zlatcu, Iuliana, Management & Marketing. Challenges for the Knowledge Society, Estimating fuel price volatility and spillover effects across different European countries, General Business, Management and Accounting |
| title | Estimating fuel price volatility and spillover effects across different European countries |
| title_full | Estimating fuel price volatility and spillover effects across different European countries |
| title_fullStr | Estimating fuel price volatility and spillover effects across different European countries |
| title_full_unstemmed | Estimating fuel price volatility and spillover effects across different European countries |
| title_short | Estimating fuel price volatility and spillover effects across different European countries |
| title_sort | estimating fuel price volatility and spillover effects across different european countries |
| title_unstemmed | Estimating fuel price volatility and spillover effects across different European countries |
| topic | General Business, Management and Accounting |
| url | http://dx.doi.org/10.2478/mmcks-2019-0029 |