Determinants of the remittances sent to Mexico 1980-2022: was there a structural change?
DOI:
https://doi.org/10.18381/eq.v20i2.7293Keywords:
Remesas, tipo de cambio real, cointegración, cambio estructural, prueba Gregory-HansenAbstract
Objective: We identify a new long-term relationship between remittances, Mexico’s GDP, the United States Industrial Production Index, and the real exchange rate.Methodology: 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.Results: The cointegration vector for the second subsample has two important changes as compared to that of the first subsample.Limitations and implications: It is implied that remittances can actually generate a stabilizing effect on the foreign exchange market.Originality and value: 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.Conclusions: We identify a long-term relationship among remittances and the variables that determine them after the structural break.Downloads
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