Open AccessJournal Article
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
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In this paper, the authors used 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.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 JEL Classifications: Q41, C51, G83read more
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Examining Rational Bubbles in Oil Prices: Evidence from Frequency Domain Estimates
Adedoyin Isola Lawal,T.M.A. Olayanju,Afeez Adebare Salisu,Abiola John Asaleye,Samuel Olatunde Dahunsi,Adewumi O. Dada,Oluwasola Emmanel Omoju,Olabisi Popoola +7 more
TL;DR: In this paper, the authors examined the existence of rational bubbles in oil prices by employing a frequency domain econophysics technique that have capacity to identify both explosive behaviour and bubbles inoil prices for the three largest oil future markets.
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Integración entre mercados de petróleo de diferente calidad con base en las correlaciones condicionales dinámicas
TL;DR: In this paper, a trabajo de investigación analiza la integracion entre los mercados de petroleo de referencia internacional y mexicano.
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Posted Content
Examining Rational Bubbles in Oil Prices: Evidence from Frequency Domain Estimates
Adedoyin Isola Lawal,T.M.A. Olayanju,Afeez Adebare Salisu,Abiola John Asaleye,Samuel Olatunde Dahunsi,Adewumi O. Dada,Oluwasola Emmanel Omoju,Olabisi Popoola +7 more
TL;DR: In this paper, the authors examined the existence of rational bubbles in oil prices by employing a frequency domain econophysics technique that have capacity to identify both explosive behaviour and bubbles inoil prices for the three largest oil future markets.
Journal ArticleDOI
Integración entre mercados de petróleo de diferente calidad con base en las correlaciones condicionales dinámicas
TL;DR: In this paper, a trabajo de investigación analiza la integracion entre los mercados de petroleo de referencia internacional y mexicano.