Indian Crude Oil Hedging Backtest Data, 2010-2025

Replication data and code for the paper "Regime-Conditional Crude Hedging for Indian Refiners: Evidence from a 16-Year Backtest." The archive includes daily and monthly Brent crude oil price panels in Indian rupees, regime-classifier outputs, and backtest results for nine hedging policies from January 2010 to December 2025. It was authored by Adesh Mishra and published on Harvard Dataverse in June 2026.

Use Cases

• Testing regime-switching models for commodity price forecasting based on the Markov-switching regime classifiers included.
• Conducting Diebold-Mariano tests for forecast accuracy comparisons using the provided horse-race data.
• Backtesting hedging policy performance for Indian refiners using the included policy engine and outputs.
• Analyzing the sensitivity of hedging outcomes to transaction costs based on the cost-sensitivity results.

Strengths

• Includes a 16-year backtest period from January 2010 to December 2025.
• Contains multiple data products: price panels, regime-classifier outputs, and backtest engine results.
• Provides self-contained reproduction scripts and SHA-256 checksums for verification.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count is unknown, which may limit suitability assessment.
• One source file (PPAC Indian Basket) is referenced but not included in the archive.

Provenance

Source

Harvard Dataverse, authored by Adesh Mishra.

Collection Method

Data likely compiled from FRED (Federal Reserve Economic Data) and other public sources for academic replication.

Time Range

January 2010 to December 2025.

Freshness

Last updated 2026-06-09 15:57:02.

Geography

Focus on India, with Brent crude priced in Indian rupees.