This study examines whether the positive and negative shocks in world commodity prices
transmit symmetrically to the domestic prices of GCC economies while using threshold
autoregressive (TAR) model. The empirical results indicate that the positive shocks in world
prices do transmit to the domestic prices of these economies whereas, the negative shocks
are not transmitted. Moreover, for certain commodity-groups, which respond to both positive
and negative shocks, the speed of transmission is relatively faster with respect to the positive …