Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

The purpose of this study is to investigate the empirical evidence of "rockets and feathers" hypothesis in Korean retail gasoline market using two different international oil prices, Dubai crude price and international gasoline commodity prices, in different frequencies, daily and weekly. To test the existence of asymmetry in gasoline price adjustment, we employ impulse response function test method as well as traditional coefficients test method. By comparing statistical significance band of impulse response function to international oil price increases and decreases, we can consider the degree and duration of asymmetry in gasoline price responses at the same time. Our empirical results suggest that the speed of average responses of domestic oil prices against the increase in an international oil price is faster than that against the decrease of an international oil price, and besides, the magnitude of asymmetry in retail gasoline price responses is greater and lasts longer in weekly data than in daily data. When using international gasoline commodity price as input price shocks, however, asymmetry in retail gasoline price is not observed regardless of different data frequencies.