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Sobre la independencia de los flujos de inversión extranjera de cartera y el crecimiento económico en México
[On the independence of foreign portfolio investment flows and economic growth]

Author

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

Abstract

This paper carries out an analysis of cointegration between economic growth and the dynamics of the flows of foreign portfolio investment (FPI) in Mexico. Empirical evidence shows, through a VAR model and Granger causality tests, that flows coming from the FPI have no significant effect on the rate of growth of the Mexican economy and vice versa. Also, through an analysis of impulse-response functions, we find that the response of the quarterly growth rate of GDP to a shock (impulse) in the FPI is very low; vanishing in a few quarters. Also, the response of the FPI to a shock in itself and the GDP growth declines soon. Finally, we show, using a GARCH model, that the volatility of these flows does not affect the dynamics of the GDP growth rate in Mexico.

Suggested Citation

  • López-Herrera, Francisco & Venegas-Martínez, Francisco, 2014. "Sobre la independencia de los flujos de inversión extranjera de cartera y el crecimiento económico en México [On the independence of foreign portfolio investment flows and economic growth]," MPRA Paper 57550, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:57550
    as

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    File URL: https://mpra.ub.uni-muenchen.de/57550/1/MPRA_paper_57550.pdf
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    References listed on IDEAS

    as
    1. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    3. Tokunbo S. OSINUBI & Lloyd A. AMAGHIONYEODIWE, 2010. "Foreign Private Investment And Economic Growth In Nigeria," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 5, pages 105-127, June.
    4. Bank for International Settlements, 2009. "Capital flows and emerging market economies," CGFS Papers, Bank for International Settlements, number 33.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Foreign portfolio investment; economic growth; VAR models.;
    All these keywords.

    JEL classification:

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

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