Asymmetric oil price pass-through in the Philippines, 1999–2026: Information-theoretic and NARDL evidence across fuel types

Abstract

We revisit the oil price hysteresis study of Roxas and Tapang (2009) using data from January 1999 to March 2026, extending the original dataset by seventeen years and adding LPG and kerosene to the analysis. We replicate the original methods — correlation, mutual information, and transfer entropy — and supplement them with the Nonlinear ARDL (NARDL) framework to formally test asymmetric pass-through. The information-theoretic analysis is consistent with Dubai crude remaining the dominant driver of pump prices, with kerosene showing significant lagged dependence on all other series consistent with administered pricing, and Dubai crude, RON 91, and LPG carrying significant transfer entropy into the USD/PHP exchange rate despite near-zero linear correlation. NARDL results show statistically significant asymmetric pass-through for RON 91 gasoline (LR+ = 0.396 vs. LR−= 0.355; Wald F = 24.71, p < 0.001) and LPG (LR+ = 0.238 vs. LR−= 0.206; Wald F = 17.55, p < 0.001), but not for kerosene, which fails the bounds cointegration test (F = 2.76; 5% critical value: 3.79), suggesting its crude-to-pump relationship is not stable over the sample period.