Resumen

RAMIREZ SANCHEZ, José Carlos; CRUZ ARANDA, Fernando  y  CABRERA LLANOS, Agustín. Mean reversion in Mexico´s real oil price series. Contad. Adm [online]. 2020, vol.65, n.4, 00011.  Epub 13-Sep-2021. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2020.2453.

This paper aims at showing the existence of a mean reversion pattern in the series of real prices of oil exported by Mexico to the American Continent between January 1999 and June 2017. For this purpose we adapt a stochastic difference-equation to the series of prices of Maya variety to make forecasts in-and out of the sample, with a window of six and twelve months. The main results drawn from the best-fit model show that, in effect, there is a reversion to the long-term mean in prices initially assumed to be rational. Other statistical tests confirm that this reversion to the mean is persistent because the shocks produced on real prices do not involve permanent changes.

Palabras llave : C01; C13; C65; G12; G23; Mexico’s oil-prices; Mean reversion; Efficient-market hypothesis; Impulse-response functions; Price forecasting.

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