Austérité budgétaire : remède ou poison ? La zone euro à l'épreuve de la criseMarcel Aloy, Gilles Dufrénot, Anne Péguin-Feissolle and Michel Aglietta, 2017-10, 150 pages, ATLANDE, 2017

Alors que les politiques d'austérité et les réformes budgétaires décidées par la zone euro ont un impact de plus en plus perceptible sur les millions de citoyens européens, ce livre tente d'offrir une réponse aux questionnements qui traversent l'opinion publique. Au-delà d'un état des lieux de la zone euro, ce livre interroge la pertinence des choix d austérité et pose la question des ajustements à mettre en oeuvre dans une union monétaire entre pays hétérogènes.

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized VolatilitiesMarcel Aloy and Gilles de Truchis, Computational Economics, Volume 48, Issue 1, pp. 83-104, 2016

Estimation methods of bivariate fractional cointegration models are numerous and have in most cases non-equivalent asymptotic and finite sample properties, implying difficulties in determining an optimal estimation strategy. This paper addresses this issue by means of simulations and provides useful guidance to practitioners. Our Monte Carlo study reveals the superiority of techniques that estimate jointly all parameters of interest, over those operating in two steps. To illustrate the empirical relevance of our results, we propose a co-persistence analysis of two stock market realized volatility series.

A Comparison of the Fed’s and ECB’s Strategies during the Subprime CrisisMarcel Aloy and Gilles Dufrénot, W. A. Barnett and F. Jawadi (Eds.), 2015-07, Volume 24, pp. 419-449,Chapitre12, Emerald Group Publishing Limited, 2015

Abstract This chapter proposes a comparative analysis of the monetary policies undertaken by the Federal Reserve Board and the European Central Bank after the 2008 subprime crisis. We point out the twin nature of the financial crises in Europe in comparison with the US crises: in addition to the role of bank funding, the euro area countries have also experienced a structural problem of balance of payment disequilibria. This explains why in the early stages of the subprime crisis, the Fed has succeeded in tackling the illiquidity problems facing the banking sector, while the ECB did not. The Fed could then focus on tackling the recession in the real sector by adopting quantitative easing policies to exert downward pressure on the long-term interest-rate. In the euro area quantitative easing policies came later, in 2013. Even the forward guidance policies have been different between the two central banks. Unlike the ECB, the Fed has gone through diverse forward guidance policies: qualitative, calendar-based, and state-contingent. The chapter proposes a new survey of the monetary policies after the subprime crisis by comparing two strategies in different contexts: the United States and the euro area.

Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War IIMarcel Aloy, Gilles Dufrénot and Anne Péguin-Feissolle, Applied Economics, Volume 46, Issue 6, pp. 629-637, 2014

This article contributes to the recent empirical literature on financial repression and focuses on the French case since the end of World War II. We find that the fiscal adjustment needed to lower the debt ratio has been smaller during the years of financial repression in comparison with those of liberalized financial markets. This was possible because the real interest rates were low. We conduct a counterfactual analysis to see whether the vulnerability of public finances would have been different, if, since the late 1980s, the governments had continued carrying out the same financial repression policies. We answer affirmatively showing that the cost of debt service would have been reduced.

Shift-Volatility Transmission in East Asian Equity Markets: New IndicatorsMarcel Aloy, Gilles de Truchis, Gilles Dufrénot and Benjamin Keddad, Gilles Dufrénot, Fredj Jawadi and Waël Louhichi (Eds.), 2014, pp. 273-291, Springer International Publishing, 2014

This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We propose several indicators that are be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.

Long-run relationships between international stock prices: further evidence from fractional cointegration testsMarcel Aloy, Mohamed Boutahar, Karine Gente and Anne Péguin-Feissolle, Applied Economics, Volume 45, Issue 7, pp. 817-828, 2013

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this article shows that France, Germany, Hong Kong and Japan's stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging markets like Brazil and Argentina are not pairwise cointegrated with the US stock market. These new results have important implications for asset pricing and international portfolio strategy.

A smooth transition long-memory modelMarcel Aloy, Gilles Dufrénot, Charles Lai-Tong and Anne Péguin-Feissolle, Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 3, pp. 281-296, 2013

This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the United States from 1948 to 2012.

Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?Marcel Aloy, Mohamed Boutahar, Karine Gente and Anne Péguin-Feissolle, Economic Modelling, Volume 28, Issue 3, pp. 1279-1290, 2011

This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the US Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three step testing procedure based on recently introduced econometric techniques, in order to assess the mean-reverting properties of the RER and to address the question of whether real exchange rates follow a non linear process or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study are not mean-reverting. Secondly, the nonlinear ESTAR type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties.

Fractional integration and cointegration in stock prices and exchange ratesMarcel Aloy, Mohamed Boutahar, Karine Gente and Anne Péguin-Feissolle, Economics Bulletin, Volume 30, Issue 1, pp. 115-129, 2010

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean reversion, responding slowly to shocks. Therefore, with regard to the recent empirical cointegration literature, taking into account fractional cointegration techniques appears as a promising way to study the long-run relationships between stock prices and exchange rates.

The role of demography in the long-run Yen/USD real exchange rate appreciationMarcel Aloy and Karine Gente, Journal of Macroeconomics, Volume 31, Issue 4, pp. 654-667, 2009

This paper aims to measure the contribution of an aging population to explain the real appreciation experienced by the Yen-US Dollar since 1980s. We develop a two-good overlapping-generation model of a semi-small open economy to highlight the link between the birth rate and the real exchange rate. In a creditor (debtor) country, an aging population causes a real exchange rate appreciation (depreciation) due to a positive (negative) wealth effect. Structural parameters are estimated by GMM using quarterly data between 1960 and 2001. Then, numerical simulations show that the long-run relationship between population growth and real exchange rate is negative between 1960 and 1971 and positive between 1971 and 2000. The decrease in population growth may account for a large part of the real appreciation experienced by the Yen/USD between 1971 and 2000.