Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports

Energy Policy, forthcoming

53 Pages Posted: 23 Aug 2021

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics (Moscow)

Anna Kolesnikova

The Central Bank of Russian Federation

Date Written: August 21, 2021

Abstract

Using monthly data of 79 Russian regions from 2003 to 2017, we study the long-run relationship of the retail gasoline prices with the crude oil price and the nominal exchange rate. We find that models that were successfully applied to deal with asymmetries in other countries are not suitable for Russia without taking structural breaks into account. Once breaks are allowed, we find that there is no asymmetry in the long-run elasticities between the gasoline prices and the crude oil price, and no significant hysteresis. However, there is an asymmetric relation between the gasoline price and the exchange rate that has decreased over time. These results also hold after several robustness checks. The evidence reported in this work shows that the effects of the exchange rate on gasoline prices are much more difficult to control than the oil price, and they require a larger set of policy measures: the recent development of a plan to decrease the importance of hydrocarbons exports by producing clean hydrogen using electrolysis and pyrolysis and the potential future export of electricity generated using nuclear power and onshore wind farms may help to diversify the local economy and to shield it from new sanctions.

Keywords: Gasoline market, Russia, Asymmetric cointegration, Panel cointegration, Hysteresis, Structural breaks.

JEL Classification: C32, C33, C54, Q28, Q38, Q43, Q48, L71

Suggested Citation

Fantazzini, Dean and Kolesnikova, Anna, Asymmetry and hysteresis in the Russian gasoline market: the rationale for green energy exports (August 21, 2021). Energy Policy, forthcoming, Available at SSRN: https://ssrn.com/abstract=3908988 or http://dx.doi.org/10.2139/ssrn.3908988

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

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HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics (Moscow) ( email )

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Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Anna Kolesnikova

The Central Bank of Russian Federation ( email )

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