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Dinámica de la inversión extranjera de cartera en México: recomendaciones de política
[Dynamics of Foreign Portfolio Investment in Mexico: Policy Recommendations]

Author

Listed:
  • Venegas-Martínez, Francisco
  • López-Herrera, Francisco

Abstract

This paper examines the factors, external and internal, determining the input and output flows of foreign portfolio investment in Mexico during the period 1995:01-2005:01. To do this, the dynamics of interest rates and the stock market returns in Mexico and the United States, as well as the country risk and the amount of foreign portfolio investment in Mexico are analyzed. Subsequently, we carry out a cointegration analysis to investigate possible functional short and long-term relationships between the above variables. Moreover, a Vector Autoregressive (VAR) with Error Correction (VEC) is specified and a Granger causality analysis is performed. Finally, we propose a number of measures and recommendations, modest but highly feasible in economic policy, that will allow, with a greater degree of certainty, financing with foreign investment the medium and long-term economic growth in an environment of macroeconomic stability.

Suggested Citation

  • Venegas-Martínez, Francisco & López-Herrera, Francisco, 2014. "Dinámica de la inversión extranjera de cartera en México: recomendaciones de política
    [Dynamics of Foreign Portfolio Investment in Mexico: Policy Recommendations]
    ," MPRA Paper 57545, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:57545
    as

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    File URL: https://mpra.ub.uni-muenchen.de/57545/1/MPRA_paper_57545.pdf
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    References listed on IDEAS

    as
    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    foreign portfolio investment; economic growth; VAR models.;

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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