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Chaînes de valeurs et transmission de chocs de taux de change sur les prix à la consommation

dc.contributor.authorCamatte, H.
dc.contributor.authorDaudin, Guillaume
dc.contributor.authorFaubert, V.
dc.contributor.authorLalliard, A.
dc.contributor.authorRifflart, C.
dc.date.accessioned2021-02-08T14:24:26Z
dc.date.available2021-02-08T14:24:26Z
dc.date.issued2020
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21582
dc.language.isoenen
dc.subjectInflation
dc.subjectglobal value chains
dc.subjectPhillips curve
dc.subjectinput output tables
dc.subjectinternational trade
dc.subjectpass through
dc.subjectD57, E31, F14
dc.subject.ddc338.5en
dc.subject.classificationjelF.F1.F14en
dc.subject.classificationjelE.E3.E31en
dc.subject.classificationjelD.D5.D57en
dc.titleChaînes de valeurs et transmission de chocs de taux de change sur les prix à la consommation
dc.typeDocument de travail / Working paper
dc.description.abstractenGlobal Value Chains and the transmission of exchange rate shocks to consumer pricesHadrien Camatte1, Guillaume Daudin2, Violaine Faubert3, Antoine Lalliard4, Christine Rifflart5December 2020, WP 797ABSTRACTFollowing the 2008 financial crisis, inflation rates in advanced economies have been at odds with the prediction of a standard Phillips curve. This puzzle has triggered a debate on the global determinants of domestic prices. We contribute to this debate by investigating the impact of exchange rate shocks on consumer prices from 1995 to 2018. We focus on cost-push inflation through global value chains, using three sectoral world input-output datasets. Depending on countries, the absolute value of the elasticity of the household consumption expenditure (HCE hereafter) deflator to the exchange rate ranges from 0.05 to 0.35, confirming the importance of global value chains in channelling external shocks to domestic inflation. Using data from WIOD on a sample of 43 countries, we find that the mean output-weighted elasticity of the HCE deflator to the exchange rate increased in absolute value from 0.075 in 2000 to 0.094 in 2008. After peaking in 2008, it declined to 0.088 in 2014. World Input-Output tables (WIOT hereafter) are released with a lag of several years and the latest WIOT dates back to 2015. To fill this gap, we approximate the impact of an exchange rate shock on the HCE deflator from 2016 onwards using up-to -date GDP and trade data. Our extrapolations suggest that the decline in the elasticity of the HCE deflator continued until 2016, before reversing in 2017 and 2018. Our findings are robust to using three different datasets.
dc.publisher.cityParisen
dc.identifier.citationpages47
dc.relation.ispartofseriestitleDocuments de Travail de la Banque de France
dc.relation.ispartofseriesnumber797
dc.subject.ddclabelMicroéconomieen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2022-01-14T08:11:06Z
hal.identifierhal-03134873*
hal.version1*
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