IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v15y2020i3p355-374.html
   My bibliography  Save this article

Dynamic hedging of prices of Natural Gas in Mexico

Author

Listed:
  • Roberto R. Barrera-Rivera

    (Tecnológico de Monterrey, México)

  • Humberto Valencia-Herrera

    (Tecnológico de Monterrey, México)

Abstract

Los precios de venta de primera mano del gas natural (GN) en México tuvieron una relación dinámica, pero con retrasos, con los precios internacionales de los futuros de GN durante el periodo de enero de 2012 a junio de 2017. A partir de una estrategia de cobertura en la que se emplean futuros de GN y utilizando un modelo MGARCH VCC para estimar las variaciones condicionales con retrasos de 20 y 40 días de los precios de los futuros, se muestra cómo se comportan las coberturas dinámicas de GN, suponiendo precios teóricos futuros del dólar estadounidense en pesos mexicanos. A través de una prueba retrospectiva, se halló que las predicciones de las razones de cobertura óptima mejoran con períodos cortos de pronóstico y períodos cercanos de observación. El modelo de cobertura dinámica propuesto puede extenderse a otros mercados de combustibles. Se destaca la importancia de la cobertura de los precios del GN dado el tamaño del mercado y la magnitud del riesgo al que se encuentran expuestos los participantes.

Suggested Citation

  • Roberto R. Barrera-Rivera & Humberto Valencia-Herrera, 2020. "Dynamic hedging of prices of Natural Gas in Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 15(3), pages 355-374, Julio - S.
    • Handle: RePEc:imx:journl:v:15:y:2020:i:3:p:355-374
    as

    Download full text from publisher

    File URL: https://www.remef.org.mx/index.php/remef/article/view/478
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    precios del gas natural; precios de venta de primera mano; cobertura dinámica; pruebas retrospectivas;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:15:y:2020:i:3:p:355-374. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.