Marcel Aloy
Biographic Data
| ID | 8761036 |
|---|---|
| NAME | Marcel Aloy |
| GIVEN NAMES | Marcel |
| FAMILY NAME | Aloy |
| SIGNATURE | ALOY M |
| AFFILIATIONS | Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, GREQAM, Centre de la Charité, 2 rue de la Charité, 13236 Marseille Cedex 02, France |
| VERIFIED | No |
| TOTAL WORKS | 6 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 6 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2011 |
| LATEST PUBLICATION YEAR | 2015 |
| H-INDEX | 0 |
A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
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 stage…
Shift-Volatility Transmission in East Asian Equity Markets
A smooth transition long-memory model
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 Un…
Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
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 vulne…
Purchasing power parity and the long memory properties of real exchange rates
Long-run relationships between international stock prices
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 marke…
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Purchasing power parity and the long memory properties of real exchange rates
Long-run relationships between international stock prices
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 marke…
A smooth transition long-memory model
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 Un…
Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
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 vulne…
Shift-Volatility Transmission in East Asian Equity Markets
A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
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 stage…
Economics (5 works) · Market Dynamics and Volatility (4 works) · Monetary economics (4 works) · Monetary Policy and Economic Impact (4 works) · Business (3 works) · Econometrics (3 works) · Finance (3 works) · Financial economics (3 works) · Banking stability, regulation, efficiency (2 works) · Computer Science (2 works)