Asymmetric responses of domestic fuel prices to WTI shocks

The paper approximates the dynamic relationships between domestic fuel prices and the WTI from 2000 to 2009. From September 2004, these prices have been administered by the FEPCDP, a price stabilization fund. To capture the presence of asymmetries inside the vector of conditional means, this paper lays out a flexible dynamic model (neural VAR), a t-Student distribution for the associated disturbance vector, and a dynamic heteroskedastic model (ARCH) for the conditional covariance matrix. The parameter approximation is consistent with FEPCDP's protocols.