Short- and Long-Term Relations among Prices of the Mexican Crude Oil Blend, West Texas Intermediate, and Brent: Market Trend and Risk Premia, 2005-2016

Rosa Mar a Dom nguez-Gij N, Francisco Venegas-Mart Nez and Alfredo Omar Palafox-Roca
Additional contact information
Rosa Mar a Dom nguez-Gij N: Instituto Nacional de Estad stica y Geograf a, M xico
Francisco Venegas-Mart Nez: Escuela Superior de Econom a, Instituto Polit cnico Nacional, M xico,
Alfredo Omar Palafox-Roca: Universidad de las Am ricas Puebla, M xico
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

International Journal of Energy Economics and Policy, 2018, vol. 8, issue 3, 87-91

Abstract: This paper uses a Vector Error Correction Model (VECM) to obtain the decomposition in permanent and transient components of prices of the Mexican Crude Oil Blend, the West Texas Intermediate (WTI) oil, and the Brent oil of the North Sea. Moreover, Granger causality tests, impulse-response analysis, and variance decomposition are carried out. The main findings are: 1) there are long-term relationships among these oil prices, 2) Brent oil mainly sets the market trend for the Mexican Crude Oil Blend, and 3) the yield-risk analysis shows that the Mexican crude oil blend offers the highest average yield and Brent provides the highest average risk premium.

Keywords: Oil prices; econometric modeling, yield-risk analysis (search for similar items in EconPapers)
JEL-codes: C51 C83 Q41 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/6464/3682 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/6464/3682 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2018-03-13

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().