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Stephen is 4 years her elder and seems to have a good relationship with Alex, occasionally referring to anecdotes which involve her or things that she has told him, and also implying that she was a regular listener of his 6 Music show.
- Alex told Stephen about the man she worked with in a factory who had a tattoo of a naked female vampire taking a shower. (30 November 2002)
- "People say it's stinginess, Gervais would say it's stinginess. I don't agree. I'm my father's son, he's a man who's cautious with money. I remember my sister said to him once 'Why do I only get 20p by the tooth fairy, whereas all my friends got a quid?' and he said something like 'Because all the other tooth fairies have wives that work.'" (24 March 07, Steve Merchant on the Jonathan Ross BBC Radio 2 Show)
- At the Christmas dinner table the year before, Alex who is religious and Stephen who is an atheist were arguing about Jesus, and Mrs Merchant said "Will you two stop arguing about Jesus? It's not the time!" (24 December 2005, RG and SM standing in on the Jonathan Ross Radio 2 show).
- Steve recounted in a 6Music show that as when he was child in Maths, the members of the class were asked to raise their hand if they were an only child, and Steve raised his hand. When someone reminded him about his sister, he said, "Well, I was an only child until she was born".
- In the same show, Steve said that Alex used to play imaginary tea party and even had imaginary characters which she and her friends would gossip about, including "Miss Chubby". (10th June 2007)
- Steve said that only he, his parents, and his sister Alex call his gran, who is never sure who has called her, and lists everyone's name before reaching the caller's name. (October, 2010, "Karl Pilkington: A Day in the Life")