This paper investigates the long-run and shor-run price asymmetries that might exist in the retail gasoline prices in Japan from January 1995 to July 2008. To account for asymmetries existing in the links with crude oil prices and exchange rates, an approach based on TAR, M-TAR cointegration tests and related asymmetric ECMs are employed for several data sets of different length considering policy changes. Empirical results show that long-run asymmetries are not found for both cointegration tests, highly suspected for M-TAR process though. However, short-run asymmetry is strongly found at least in connection with crude oil prices. Undoubtedly, the phenomenon of "Rockets and Feather" is ascertained. The price increases of crude oil appear to affect the rises of retail gasoline prices more than the price decreases to affect the falls.