Global versus local shocks in micro price dynamics

• 成果类型: Article
• 署名作者: Andrade, Philippe; Zachariadis, Marios
• 署名单位: European Central Bank; Bank of France; University of Cyprus
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.10.005
• 发表日期: 2016
• 页码: 78-92
• 关键词: Global shocks; Local shocks; Macro shocks; international prices; Price-setting models; Micro prices

摘要

A number of recent papers point to the importance of distinguishing between the price reaction to macro and micro shocks. We emphasize instead the importance of distinguishing between global and local shocks. We exploit a panel of 276 micro price levels collected on a semi-annual frequency over two decades in 59 countries around the world, that enables us to distinguish between different types (global and local) of macro and micro shocks. We find that global macro and micro shocks are always associated with a slower response of prices than the respective local shocks. Focusing on structural monetary macro shocks, we show that prices reach their long-run value much slower in response to a global macro shock, as compared to the time it takes for prices to reach their long-run value in response to a local macro shock. (C) 2015 Elsevier B.V. All rights reserved.