On the importance of sectoral shocks for price-setting

We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectora
We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectoral as done in other papers). Employing a new method to extract factors from over-lapping data blocks, we find for our euro area data set 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. Country- and region-specific factors play an important role in addition to the sector-specific factors. We conclude that sectoral price changes have a “geographical” dimension, as yet unexplored in the literature, that might lead to new insights regarding the properties of sectoral price changes. JEL-Classifications: E31, E4, E5, C3 Keywords: Disaggregated Prices, Euro Area Regional and Sectoral Inflation, Common Factor Models.
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Metadaten
Author:Guenter W. Beck, Kirstin Hubrich, Massimiliano Marcellino
URN:urn:nbn:de:hebis:30-73629
Series (Serial Number):CFS working paper series (2009, 32)
Document Type:Working Paper
Language:English
Date of Publication (online):2010/01/13
Year of first Publication:2009
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2010/01/13
Tag:Common Factor Models; Disaggregated Prices ; Euro Area Regional and Sectoral Inflation
HeBIS PPN:22067938X
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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