Abstract. In recent years, retail fuel prices have raised the question of whether they are anomalous in relation with the crude oil prices. This paper aims to study the price volatility and the response of retail fuel prices to changes in international crude oil prices on the Romanian fuel market and on four other markets, namely Germany, France, Poland and Czech Rep., during the period between 2008 and 2014. By estimating univariate and multivariate GARCH models, as well as applying an MTAR threshold cointegration approach, the study finds similar patterns across the aforementioned markets. Our results show that the conditional volatility reached its peak during the outbreak of the financial crisis, together with an abrupt fall in time-varying correlations, which offer support for the asymmetric transmission hypothesis. Finally, the cointegration analysis detects some signs of asymmetric adjustments, supporting the hypothesis of a faster adjustment above the threshold in most cases.

Keywords: Price volatility, GARCH, BEKK, asymmetric adjustment, threshold cointegration, fuel market, collusion.