On the importance of sectoral and regional shocks for price setting : [Version Juli 2012]
- We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price changes. We thereby provide an improved estimate of the sectoral factor in comparison with previous literature, which decomposes price changes into an aggregate and idiosyncratic component only, and interprets the latter as sectoral. We find that the sectoral component explains much less of the variation in sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further contribute to the literature on price setting by providing evidence that country- and region-specific factors play an important role in addition to the sector-specific factors, emphasising heterogeneity of inflation dynamics along different dimensions. We also conclude that sectoral price changes have a “geographical” dimension, that leads to new insights regarding the properties of sectoral price changes.
Verfasserangaben: | Guenter W. Beck, Kirstin Hubrich, Massimiliano Marcellino |
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URN: | urn:nbn:de:hebis:30:3-268769 |
URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_63.pdf |
Titel des übergeordneten Werkes (Deutsch): | Working paper series / Institute for Monetary and Financial Stability ; 63 |
Schriftenreihe (Bandnummer): | Working paper series / Institute for Monetary and Financial Stability (63) |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Jahr der Fertigstellung: | 2012 |
Jahr der Erstveröffentlichung: | 2012 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 07.11.2012 |
Freies Schlagwort / Tag: | common factor models; disaggregated prices; euro area regional and sectoral inflation |
Ausgabe / Heft: | Version Juli 2012 |
Seitenzahl: | 53 |
HeBIS-PPN: | 344430715 |
Institute: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Klassifikation: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C39 Other |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | Deutsches Urheberrecht |