All books bought on the website can only be read on the app. Download Jackobian to have access to your materials
This paper investigated the oil–gasoline price relationship in the UK and USA follow-
ing the 2007–2008 global financial crisis. The dummy variable approach to testing for
structural break and the nonlinear autoregressive distributed lag approach for model-
ing asymmetry cointegrating relationships were used. The findings indicate that the
crisis induced significant structural break in this relationship in both countries. For the
UK, we find strong evidence of rockets and feathers effect plus the possibility of firms
using the tax system to hide rent-seeking behavior before and after the crisis, which
means that the results of Greenwood-Nimmo and Shin (Econ Lett 121:411–416, 2013)
are no longer plausible. For the USA, we find significant evidence of the rockets and
feathers effect in the post-crisis period when the data are restricted to March 2013;
however, this effect disappears once the data are extended to June 2017. These findings
suggest that continuous monitoring and other antitrust and consumer welfare policies
are required in these economies to preserve competition and the overall social welfare.
