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EconoQuantum
versión On-line ISSN 2007-9869versión impresa ISSN 1870-6622
Resumen
JIMENEZ-GOMEZ, Adrián y FLORES-MARQUEZ, Héctor. Determinants of the remittances sent to Mexico 1980-2022: was there a structural change?. EconoQuantum [online]. 2023, vol.20, n.2, pp.1-30. Epub 17-Mayo-2024. ISSN 2007-9869. https://doi.org/10.18381/eq.v20i2.7293.
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.
Palabras llave : Remittances; real exchange rate; cointegration; structural change; Gregory-Hansen test; F24; F41; C32.