Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law
This paper aims to perform an alternative methodology the Ministry of Finance and Public Credit (SHCP) applies to estimate the annual Mexican Crude Oil Mix Export Price (MXM), a crucial element of the General Economic Policy Criteria in the Economic Package. We first identify the MXM and the West T...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2022-11-01
|
| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/13176 |
| _version_ | 1797908015956885504 |
|---|---|
| author | Alberto Gallegos David Arturo Lorenzo Valdes Barbara Trejo Becerril |
| author_facet | Alberto Gallegos David Arturo Lorenzo Valdes Barbara Trejo Becerril |
| author_sort | Alberto Gallegos David |
| collection | DOAJ |
| description |
This paper aims to perform an alternative methodology the Ministry of Finance and Public Credit (SHCP) applies to estimate the annual Mexican Crude Oil Mix Export Price (MXM), a crucial element of the General Economic Policy Criteria in the Economic Package. We first identify the MXM and the West Texas Intermediate (WTI) relation, computing tail conditional dependence between both series. Subsequently, we use a market risk analysis approach that considers some methodologies to estimate the value at risk (), including an ARIMA-TGARCH model for the innovations of the MXM's price to forecast its behavior using data daily data from January 3rd, 1996, to December 30th, 2021. Once we identify the VaR and the ARIMA-TGARCH components, we aim to design an alternative method to estimate the annual average MXM's price.
|
| first_indexed | 2024-04-10T10:45:59Z |
| format | Article |
| id | doaj.art-e6e5645be1c8442fb105936a6559d3ed |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-10T10:45:59Z |
| publishDate | 2022-11-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-e6e5645be1c8442fb105936a6559d3ed2023-02-15T16:20:20ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532022-11-0112610.32479/ijeep.13176Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility LawAlberto Gallegos David0Arturo Lorenzo Valdes1Barbara Trejo Becerril2Instituto Tecnológico Autónomo de México, Río Hondo 1, Col. Progreso Tizapán, Álvaro Obregón, Ciudad de México, C.P. 01080, Mexico,Universidad Iberoamericana Puebla, Boulevard del Niño Poblano 2901, Col. Reserva Territorial Atlixcáyotl, San Andrés Cholula, Puebla, C.P. 72810, Mexico,Tecnológico de Monterrey Campus Ciudad de México, Calle del Puente 222, Col. Ex ejido de Huipulco, Tlalpan, Ciudad de México, C.P. 14380, Mexico This paper aims to perform an alternative methodology the Ministry of Finance and Public Credit (SHCP) applies to estimate the annual Mexican Crude Oil Mix Export Price (MXM), a crucial element of the General Economic Policy Criteria in the Economic Package. We first identify the MXM and the West Texas Intermediate (WTI) relation, computing tail conditional dependence between both series. Subsequently, we use a market risk analysis approach that considers some methodologies to estimate the value at risk (), including an ARIMA-TGARCH model for the innovations of the MXM's price to forecast its behavior using data daily data from January 3rd, 1996, to December 30th, 2021. Once we identify the VaR and the ARIMA-TGARCH components, we aim to design an alternative method to estimate the annual average MXM's price. https://econjournals.com/index.php/ijeep/article/view/13176Oil prices, Copulas, VaR, TGARCH |
| spellingShingle | Alberto Gallegos David Arturo Lorenzo Valdes Barbara Trejo Becerril Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law International Journal of Energy Economics and Policy Oil prices, Copulas, VaR, TGARCH |
| title | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law |
| title_full | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law |
| title_fullStr | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law |
| title_full_unstemmed | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law |
| title_short | Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law |
| title_sort | reference price for the mexican crude oil mix export price an alternative estimation for the budget and fiscal responsibility law |
| topic | Oil prices, Copulas, VaR, TGARCH |
| url | https://econjournals.com/index.php/ijeep/article/view/13176 |
| work_keys_str_mv | AT albertogallegosdavid referencepriceforthemexicancrudeoilmixexportpriceanalternativeestimationforthebudgetandfiscalresponsibilitylaw AT arturolorenzovaldes referencepriceforthemexicancrudeoilmixexportpriceanalternativeestimationforthebudgetandfiscalresponsibilitylaw AT barbaratrejobecerril referencepriceforthemexicancrudeoilmixexportpriceanalternativeestimationforthebudgetandfiscalresponsibilitylaw |