Reversión a la media en las series de precios reales del petróleo en México

Abstract

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