Incertidumbre del precio internacional del petróleo y rendimientos accionarios en México a través de un SVAR-MGARCH

• Domingo Rodríguez Benavides ^[1] ; Miguel Ángel Martínez García ^[2] ; Luis Fernando Hoyos Reyes ^[1]
  1. [1] Universidad Nacional Autónoma de México

     Universidad Nacional Autónoma de México

     México

     
  2. [2] Universidad Autónoma Metropolitana

     Universidad Autónoma Metropolitana

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 64, Nº. 3, 2019
• Idioma: español
• DOI: 10.22201/fca.24488410e.2019.2340
• Títulos paralelos:
  • Uncertainty of the international oil price and stock returns in Mexico through an SVAR-MGARCH
• Enlaces
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• Dialnet Métricas: 1 Cita
• Resumen
  • español

    En este trabajo examinamos el impacto de la incertidumbre del precio del petróleo en los rendimientos del mercado accionario de México. La incertidumbre del precio internacional del petróleo es aproximada mediante la desviación estándar condicional del pronóstico de error de un paso adelante de la variación en el precio del petróleo. Con tal fin estimamos un SVAR-MGARCH en media con datos mensuales de los rendimientos del precio internacional del petróleo y del índice de precios y cotizaciones de la Bolsa Mexicana de Valores, ambos en términos reales de enero de 1975 a septiembre de 2018, cuya principal ventaja es que permite la estimación simultánea tanto de la media como de la incertidumbre. Los resultados revelan que la incertidumbre del precio internacional del petróleo no tiene un impacto inmediato en los rendimientos del mercado accionario. No obstante, los resultados muestran la presencia de efectos asimétricos de corto plazo ante choques negativos y positivos del precio internacional del petróleo.

  • English

    In this work, the impact of oil price uncertainty on Mexican stock market returns is examined. The uncertainty of the international oil price is approximated through the conditional standard deviation of the error forecast one step ahead of the variation in the oil price. To this end, a SVAR-MGARCH-in-mean model was estimated with monthly data of the international oil price returns and the Mexican Stock Exchange price and quotation index, both in real terms from January 1975 to September 2018, with the main advantage being that it allows the simultaneous estimation of both the mean and the uncertainty. The results reveal that the uncertainty of the international oil price does not have an immediate impact on stock market returns. However, the results show the presence of short-term asymmetric effects in the face of negative and positive shocks in the international oil price.

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