Abstract. In this paper, we review the existing empirical literature on price

asymmetries in commodities, providing a way to classify and compare different

studies that are highly heterogeneous in terms of econometric models, type

of asymmetries and empirical findings. Relative to the previous literature, this

paper is novel in several respects. First, it presents a detailed and updated

survey of the existing empirical contributions on price asymmetries in the

transmission mechanism linking input prices to output prices. Second, this paper

presents an extension of the traditional distinction between long-run and shortrun

asymmetries to new categories of asymmetries, such as: contemporaneous

impact, distributed lag effect, cumulated impact, reaction time, equilibrium

and momentum equilibrium adjustment path, regime effect, regime equilibrium

adjustment path. Each empirical study is then critically discussed in the light of

this new classification of asymmetries. Third, this paper evaluates the relative

merits of the most popular econometric models for price asymmetries, namely

autoregressive distributed lags, partial adjustments, error correction models,

regime switching and vector autoregressive models. Finally, we use the metaregression

analysis to investigate whether the results of asymmetry tests are

not model-invariant and find which additional factors systematically influence

the rejection of the null hypothesis of symmetric price adjustment. The main

results of our survey can be summarized as follows: (i) each econometric

model is specialized to capture a subset of asymmetries; (ii) each asymmetry

is better investigated by a subset of econometric models; (iii) the general

significance of the F test for asymmetric price transmission depends mainly on

characteristics of the data, dynamic specification of the econometric model, and

market characteristics. Overall, our empirical findings confirm that asymmetry, in

all its forms, is very likely to occur in a wide range of markets and econometric

models.

Key words. Cointegration; Meta-regression analysis; Partial adjustment; Price

asymmetries; Threshold regime switching