  We reinvestigate the "rockets and feathers" effect between retail gasoline
and crude oil prices in a new framework of fractional integration, long-term
memory and borderline (non-)stationarity. The most frequently used
error-correction model is examined in detail and we find that the prices return
to their equilibrium value much more slowly than would be typical for the
error-correction model. Such dynamics is usually referred to as "the Joseph
effect". The standard procedure is shown to be troublesome and we introduce
three new tests to investigate possible asymmetry in the price adjustment to
equilibrium under these complicated time series characteristics. On the dataset
of seven national gasoline prices, we report that apart from Belgium, there is
no asymmetry found. The proposed methodology is not limited to the gasoline and
crude oil case but it can be utilized for any asymmetric adjustment to
equilibrium analysis.
