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

Author

Listed:
  • Adrian Jimenez-Gomez

    (Facultad de Economia de la BUAP)

  • Hector Flores-Marquez

    (Estancia posdoctoral en la Facultad de Economia de la BUAP.)

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.

Suggested Citation

  • Adrian Jimenez-Gomez & Hector Flores-Marquez, 2023. "Determinants of the remittances sent to Mexico 1980-2022 was there a structural change?," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 20(2), pages 1-30, Julio-Dic.
    • Handle: RePEc:qua:journl:v:20:y:2023:i:2:p:1-30
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    File URL: https://econoquantum.cucea.udg.mx/index.php/EQ/article/view/7293/6794
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    File URL: https://econoquantum.cucea.udg.mx/index.php/EQ/issue/view/704
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    More about this item

    Keywords

    Remittances; real exchange rate; cointegration; structural change; Greogory-Hansen test.;
    All these keywords.

    JEL classification:

    • F24 - International Economics - - International Factor Movements and International Business - - - Remittances
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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