The DOI matches its Crossref record; 55 of the 55 references it cites were found in a registry or an index.
ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION
Open accessAbstract
Abstract In this paper, we review the existing empirical literature on price asymmetries 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 short‐run 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 meta‐regression 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.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Sims, C. A. (1980) · Econometrica · doi:10.2307/1912017 · Cited by 12,727
Robust estimation of a location parameter
Huber, P. J. (1964) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177703732 · Cited by 7,228
Spurious regressions in econometrics
Granger, C. W. J., & Newbold, P. (1974) · Journal of Econometrics · doi:10.1016/0304-4076(74)90034-7 · Cited by 6,200
Robust Regression and Outlier Detection
Rousseeuw, P. J., & Leroy, A. M. (1987) · Wiley Series in Probability and Statistics · doi:10.1002/0471725382 · Cited by 5,609
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Stock, J. H., & Watson, M. W. (1993) · Econometrica · doi:10.2307/2951763 · Cited by 5,013
(1972) · American Economic Review · Cited by 2,982
Understanding Robust and Exploratory Data Analysis.
Collett, D., Hoaglin, D. C., Mosteller, F., & Tukey, J. W. (1984) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981753 · Cited by 1,154
Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?
Borenstein, S., Cameron, A. C., & Gilbert, R. (1997) · The Quarterly Journal of Economics · doi:10.1162/003355397555118 · Cited by 1,025
Cited by
Biofuel-related price transmission literature: A review
Serra, T., & Zilberman, D. (2013) · Energy Economics · doi:10.1016/j.eneco.2013.02.014 · Cited by 269
Price Transmission in Agricultural Markets
von Cramon-Taubadel, S., & Goodwin, B. K. (2021) · Annual Review of Resource Economics · doi:10.1146/annurev-resource-100518-093938 · Cited by 75
Cost Pass-Through of the EU Emissions Allowances: Examining the European Petroleum Markets
Alexeeva-Talebi, V. (2011) · Energy Economics · doi:10.1016/j.eneco.2011.07.029 · Cited by 68
Understanding the Competitiveness Implications of Future Phases of EU ETS on the Industrial Sectors
Oberndorfer, U., Alexeeva-Talebi, V., & Löschel, A. (2010) · doi:10.2139/ssrn.1649445 · Cited by 21
Metadata
- Authors
- Frey, G., & Manera, M.
- Venue
- Journal of Economic Surveys
- Publisher
- Wiley
- Published
- 2007-03-20
- Volume
- 21
- Issue
- 2
- Pages
- 349-415
- ISSN
- 0950-0804 (ISSN-L)
- 1467-6419
- OpenAlex
- W3122994457
- Cited by
- 357
- References
- 55
- FWCI
- 25.91
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION. https://app.cochat.ai/papers/10.1111/j.1467-6419.2007.00507.x
- The paper
- Frey, G., & Manera, M. (2007). ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION. Journal of Economic Surveys. https://doi.org/10.1111/j.1467-6419.2007.00507.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.