Did the global financial crisis alter the oil–gasoline price relationship?

This paper investigated the oil–gasoline price relationship in the UK and USA following the 2007–2008 global financial crisis. The dummy variable approach to testing for structural break and the nonlinear autoregressive distributed lag approach for modeling 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.