Which Petroleum Prices Best Explain Retail Fuel Price Changes?
Midwestern Business and Economic Review, No. 50, Spring 2015, pp.1-10.
19 Pages Posted: 9 May 2014 Last revised: 21 Feb 2015
Date Written: February 2015
This paper examines which petroleum prices best explain changes in gasoline and diesel prices during three distinct periods of fuel price volatility during the 2003 to 2010 period. The results indicate that spot retail fuel prices are best explained by their futures prices over most periods, indicating that these futures markets provide valuable information about future spot fuel prices no matter the level of fuel price volatility.
Keywords: petroleum prices; rolling forecasts; structural breaks
JEL Classification: C53, Q47
Suggested Citation: Suggested Citation