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

Author

Listed:
  • Alberto Gallegos David

    (Instituto Tecnol gico Aut nomo de M xico, R o Hondo 1, Col. Progreso Tizap n, lvaro Obreg n, Ciudad de M xico, C.P. 01080, Mexico,)

  • Arturo Lorenzo Valdes

    (Universidad Iberoamericana Puebla, Boulevard del Ni o Poblano 2901, Col. Reserva Territorial Atlixc yotl, San Andr s Cholula, Puebla, C.P. 72810, Mexico,)

  • Barbara Trejo Becerril

    (Tecnol gico de Monterrey Campus Ciudad de M xico, Calle del Puente 222, Col. Ex ejido de Huipulco, Tlalpan, Ciudad de M xico, C.P. 14380, Mexico)

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.

Suggested Citation

  • Alberto Gallegos David & Arturo Lorenzo Valdes & Barbara Trejo Becerril, 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, Econjournals, vol. 12(6), pages 237-247, November.
    • Handle: RePEc:eco:journ2:2022-06-31
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Oil prices; Copulas; VaR; TGARCH;
    All these keywords.

    JEL classification:

    • H27 - Public Economics - - Taxation, Subsidies, and Revenue - - - Other Sources of Revenue
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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