Fractional integration and cointegration in stock prices and exchange ratesJournal articleMarcel Aloy, Mohamed Boutahar, Karine Gente et 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 appreciationJournal articleMarcel Aloy et 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.

Fiscal Policy and Growth: an Application to Sub Saharan EconomiesJournal articleMarcel Aloy, Blanca Moreno-Dodson et Gilles Nancy, Proceedings. Annual Conference on Taxation and Minutes of the Annual Meeting of the National Tax Association, Volume 95, pp. 300-307, 2002


Cycles de change et choix d'investissement en incertitudeJournal articleGilles Nancy, Marcel Aloy et L. Gonçalves, Recherches économiques de Louvain, Volume 59, Issue 1/2, pp. 235-256, 1993

A partir du concept de «profitabilité», qui permet d'analyser les déterminants réels et monétaires du cours de change, l'article se propose d'étudier les choix d'investissement par rapport aux décalagesqui apparaissent entre les cycles de change et les cycles d'activité. La méthode utilisée repose sur les travaux statistiques de Engel et Hamilton (1991) et sur une modélisation de la formation d'anticipations, dans un contexte Bayesien, dans le prolongement des travaux de Bernanke (1983). Les résultats des simulations conduisent d'une part, à mettre en évidence une valeur d'option élevée des investisseurs dans le secteur réel, relativement aux placements monétaires et financiers; d'autre part, à faire apparaître des écarts de comportement selon les pays récepteurs des flux d'investissements internationaux. Starting from the definition of "probability" which provides an approach to monetary and real determinants of exchange rates, that paper tries to explain the relation-ships between the investment choices, business and exchanges rates cyc es. The methodological framework is based on the Engel and Hamilton (1991) statistical investigations and an expectation modelling according to Bernanke (1983) work. The empirical results point out, on one hand, a very high option value for the investors in the real sector with respect to the monetary and financial assets. On the other hand, an option value differential according to the countries involved in the international investment process is proved.