We investigate possible presence of asymmetric responses of domestic oil
price to foreign oil price changes. For foreign prices, we consider Dubail
crude spot oil price and international petrol product price. Domestic
counterparts include average gasoline and diesel prices of oil company and of
gas stations. Most of existing approaches which analyze Korean oil price
movements typically rely on arbitrarily specified models. Thus, we make use
of model-free testing procedure developed by Hong, Tu, Zhou(2007) for
symmetry testing. Major finding is as follows. Test statistics, computed from
estimated correlations and beta values, show that the null hypothesis of
symmetry is not rejected in any combinations of domestic and international oil
prices. However, we found some evidence of asymmetry between the foreign
exchange rates (won/dollar) and domestic oil prices. Our analysis includes
some limitations, as it is based on only publicly available average data instead
of a set of micro or panel data for various domestic oil prices.