In this article, we study the German and French domestic fuel markets. The econometric methodology is based on the vector error correction models (VECM) with possible structural changes. With the VECM, we test the exogeneity of the exchange rate and of Rotterdam spot cotation. Lastly, with the conditional VECM, we study the asymmetric reaction of prices to positive and negative variations in the exchange rate and on Rotterdam spot market.
INDJEHAGOPIAN, J.P. et LANTZ, F. (2000). Dynamics of Heating Oil Market Prices in Europe. Energy Economics, pp. 225-252.