On the Importance of Sectoral and Regional Shocks for Price‐Setting
利用欧元区分行业分地区的新数据，提出一种从重叠数据块中提取因子的方法，分析价格变化的总体、行业、国家和区域成分，发现行业成分对通胀的解释力弱于美国，而国家和区域因素作用显著，挑战了传统价格设定模型。
Summary We use novel disaggregate sectoral‐regional euro‐area data to investigate the sources of price changes, introducing a new method to extract factors from overlapping data blocks that allows for estimation of aggregate, sectoral, country‐specific and regional components of price changes. Our sectoral component explains much less variation in disaggregate inflation rates and exhibits much less volatility and more persistence than previous findings for the US indicate. Country‐ and region‐specific factors play an important role, emphasizing heterogeneity of inflation dynamics along both sectoral and geographical dimensions. Our results are incompatible with basic sticky‐information or Calvo‐type price‐setting models, but require multi‐sector, multi‐country models. Copyright © 2015 John Wiley & Sons, Ltd.