Equity sensitivity analysis · Argentine energy sector

What moves YPF's stock? Argentine macro risk vs. global energy

Across — months of YPF's NYSE-listed ADR, a typical one-standard-deviation move in Brent goes with a — change in the monthly return, the US energy sector with —, and the CCL exchange rate with —. Country risk adds only — on the full sample (p = —), but becomes significant once the 2001–2005 default years are left out (p = —). The results are consistent with YPF being priced as both a global oil company and an Argentine peso asset.

Matías Batalla · B.A. in Economics, Universidad Nacional Arturo Jauretche · Independent analysis

Variance explained (adj. R²) — Final model, monthly log returns
Sample — – — — monthly observations
Annualized volatility — Std. dev. of monthly log returns × √12
Maximum drawdown — From — to —, ADR close in USD

Twenty-five years of YPF in dollars

YPF ADR monthly close (USD, log scale)

Lettered lines mark the shocks the model controls for or tests as robustness. Hover for monthly values.

  • ADec 2001 · default and end of convertibility
  • BFeb 2009 · global financial crisis
  • CApr 2012 · expropriation of Repsol's stake
  • DAug 2019 · PASO primary shock
  • EMar 2020 · COVID-19

The candidate drivers

Two domestic risk measures (the CCL dollar and sovereign country risk) and two global ones (Brent crude and the S&P 500 Energy index).

Brent crude (USD per barrel)

Global · monthly close

S&P 500 Energy index

Global · monthly close; enters the model net of oil

CCL exchange rate (ARS per USD, log scale)

Domestic · spliced series, see methodology

Country risk (EMBI spread, bp)

Domestic · monthly average

What the regression suggests

OLS on monthly log returns with heteroskedasticity-robust (White/HC1) standard errors. Coefficients measure association, not causation.

Effect of a typical month

Change in YPF's monthly return after a one-standard-deviation move in each driver, holding the others fixed. This puts variables measured in different units on one scale.

DomesticGlobal

Return vs. one driver

Each dot is a month. The line is a simple one-variable fit; red dots are the shock months the dummies absorb.

Simple slope — · correlation — (country risk measured per 100 bp)

Final model coefficients

Adj. R² — · F = —. Dummies report classical standard errors, since each flags only one or two months and the robust error collapses there.

Variable Coefficient Std. error p-value 95% CI low 95% CI high

Does it hold up?

Fifteen alternative specifications. The Brent and CCL results survive almost every test; country risk is the fragile one, and turns significant only in the post-2006 samples.

p-values across specifications

p < 0.05p < 0.10not significant— variable not in that model

Specification N Country risk CCL Brent US energy Adj. R²

Adding the Merval lifts the fit sharply, but it is left out of the final model because YPF is one of its largest components, so the link is partly mechanical.

Methodology and data

Model

YPF monthly log return = country risk (change, per 100 bp) + Brent (log change) + CCL (log change) + US energy sector net of oil + systemic-shock dummy (Feb 2009, Mar 2020) + expropriation dummy (Apr 2012). Estimated by OLS with HC1 robust errors.

Why "net of oil"

The S&P 500 Energy index moves with crude. It enters as the residual of regressing it on Brent, so the shared part is credited to oil. This is an assumption: without it the fit is identical but Brent adds no information of its own.

CCL series

Before Dec 2009, changes in the official BCRA rate at month-end; Dec 2009 to Jul 2013, the CCL implied by YPF's local share and ADR; from Aug 2013, the market CCL. Versions with no mechanical link to YPF give the same result.

Sources

YPF ADR, Brent and S&P 500 Energy: Investing.com. Country risk (JP Morgan EMBI Argentina): Rava Bursátil. Official exchange rate: BCRA. CCL: valordolarblue and Rava. Analysis and charts: own work in Excel and Python.