文章基本信息

标题：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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作者：Rosa María Domínguez-Gijón ; Francisco Venegas-Martínez ; Alfredo Omar Palafox-Roca 等
期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2018
卷号：8
期号：3
页码：87-91
语种：English
出版社：EconJournals
摘要：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.
关键词：Oil prices; econometric modeling; yield-risk analysis