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

Alberto Gallegos David, Arturo Lorenzo Valdes and Barbara Trejo Becerril
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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

International Journal of Energy Economics and Policy, 2022, vol. 12, issue 6, 237-247

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.

Keywords: Oil prices; Copulas; VaR; TGARCH (search for similar items in EconPapers)
JEL-codes: C51 G15 G22 H27 (search for similar items in EconPapers)
Date: 2022
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