Reference Price for the Mexican Crude Oil Mix Export Price: An Alternative Estimation for the Budget and Fiscal Responsibility Law


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Authors

  • Alberto Gallegos David Instituto Tecnológico Autónomo de México, Río Hondo 1, Col. Progreso Tizapán, Álvaro Obregón, Ciudad de México, C.P. 01080, Mexico,
  • Arturo Lorenzo Valdes Universidad Iberoamericana Puebla, Boulevard del Niño Poblano 2901, Col. Reserva Territorial Atlixcáyotl, San Andrés Cholula, Puebla, C.P. 72810, Mexico,
  • Barbara Trejo Becerril Tecnológico de Monterrey Campus Ciudad de México, Calle del Puente 222, Col. Ex ejido de Huipulco, Tlalpan, Ciudad de México, C.P. 14380, Mexico

DOI:

https://doi.org/10.32479/ijeep.13176

Keywords:

Oil prices, Copulas, VaR, TGARCH

Abstract

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.

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Published

2022-11-28

How to Cite

David, A. G., Valdes, A. L., & Becerril, B. T. (2022). 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, 12(6), 237–247. https://doi.org/10.32479/ijeep.13176

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Articles