Abstract

JESUS-GUTIERREZ, Raúl de. Integration among world and low quality crude oil markets based on dynamic conditional correlations. Finanz. polit. econ. [online]. 2019, vol.11, n.2, pp.353-374.  Epub Apr 27, 2020. ISSN 2248-6046.  https://doi.org/10.14718/revfinanzpolitecon.2019.11.2.8.

This paper tests the degree of integration between Mexico's and world crude oil markets throughout the evolution of dynamics correlations during the stable, crisis and volatile periods. The estimations of DCC-GARCH model show that the correlations are positive and time-varying in responds to the origin of the oil price shocks in periods of relative calm and financial turmoil. Likewise, the results of statistic-t and bootstrap p-value confirm strongly that the correlations in the crisis period are significantly different from those in the stable and volatile periods, which provides evidence in favor of the regionalization hypothesis between crude oil markets. The findings have important economic and financial implications for the government and consumers.

Keywords : Dynamics conditional correlations; financial crises; integration crude oil markets.

        · abstract in Spanish | Portuguese     · text in Spanish     · Spanish ( pdf )