Determinants of the remittances sent to Mexico 1980-2022 was there a structural change?

Adrian Jimenez-Gomez () and Hector Flores-Marquez
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Adrian Jimenez-Gomez: Facultad de Economia de la BUAP
Hector Flores-Marquez: Estancia posdoctoral en la Facultad de Economia de la BUAP.

EconoQuantum, Revista de Economia y Finanzas, 2023, vol. 20, issue 2, 1-30

Abstract: We identify a new long-term relationship between remittances, Mexico’s GDP, the United States Industrial Production Index, and the real exchange rate. For a quarterly sample from 1980 to 2022, we identified a structural break on the 3rd quarter of 2002. We divided the initial sample into two subsamples in order to estimate the corresponding cointegration vectors. The cointegration vector for the second subsample has two important changes as compared to that of the first subsample. It is implied that remittances can actually generate a stabilizing effect on the foreign exchange market. i) the sign of the estimated coefficient of the real exchange rate changes from negative to positive, ii) a time trend must be incorporated in the cointegration space. We identify a long-term relationship among remittances and the variables that determine them after the structural break.

Keywords: Remittances; real exchange rate; cointegration; structural change; Greogory-Hansen test. (search for similar items in EconPapers)
JEL-codes: C32 F24 F41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:qua:journl:v:20:y:2023:i:2:p:1-30

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