Many people have said this throughout the years, the reason it is not done is because of some treaty we have with Mexico. I forget the particulars.
Could A 50-Year-Old Treaty Stop The Border Wall?
http://kut.org/post/could-50-year-old-treaty-stop-border-wall
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The commission is both in Juarez, Mexico and El Paso, Texas, and is normally a quiet job about diplomacy and allocation of water, Burnett says. But Rascón told Burnett he was gravely concerned about what a concrete wall would do to the river, especially in the Rio Grande Valley.
“Mexico has been growing more and more alarmed as they see plans for Trump’s wall progress,” Burnett says. “In the west desert on the Arizona-Mexico border we have proven examples that border security fencing has clogged with debris and has caused very serious flooding in places. ... These walls, when they get clogged with debris, act like a dam.”
A 1970 treaty signed by both countries says neither side can put an obstruction in the floodplain, unless both countries sign off.
“If both sides don’t agree, then it’s a treaty violation,” Burnett says. “This is absolutely a mutual treaty. And up to this point Antonio Rascón ... said the U.S. has tried to accommodate us, but in the end they have gone on with the 670 miles of wall – much of which we have protested against.”
Rascón told Burnett that the U.S. has been repeatedly violating the treaty without a response to Mexico’s growing complaints. Until now, there’s been little pushback from Mexico, but it’s different now, Burnett says.
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full article at link above