MEXICO CITY — Mexican President Andrés Manuel López Obrador said on Thursday that his administration is investigating corruption among its immigration and customs agents, responding to a question by VICE News about claims that agents are extorting migrants applying for asylum in the U.S.

“The entire immigration and customs system is being cleansed of corruption. This was initiated straight from the National Palace,” he said at his morning news conference.

“To the extortionists,...

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