SHEDDING LIGHT ON THE UNDERLYING LONG-RUN PRICE LEADERSHIP: A STUDY OF US GASOLINE PRICE DATA

摘要

This note aims to shed some useful light on the underlying long-run price leadership in market data. A cointegrated vector autoregressive analysis is performed using weekly data for gasoline prices observed in three regions in the US. Statistical evidence revealed in the analysis indicates that one of the prices plays the role of long-run leadership, thus exerting persistent influences on the price determination in the other regions.