The local dynamics of cadmium selenide (CdSe) with wurtzite structure has been investigated by molecular dynamics simulations, using a many-body Tersoff potential. The radial distribution functions (i.e., the effective pair potentials) of the first seven coordination shells have been determined as a function of temperature, as well as their parallel and perpendicular mean-square relative atomic displacements. The bond thermal expansion of the first coordination shell is mainly due to the asymmetry of the effective pair potential. In contrast, the bond thermal expansion of the outer shells is mostly due to a rigid shift of the effective pair potential. This behavior, recently observed also in simple cubic monoatomic crystals, can be generalized and related to the correlation of atomic motion. Finally, a shift toward lower values of the first Se-Cd effective pair potential has been observed when increasing the temperature, confirming previous findings by extended x-ray absorption fine-structure measurements. Differently from superionic conductors like AgI and CuBr, in which this anomalous negative shift was tentatively explained by cluster distortion and cation diffusion, the negative shift of CdSe is related to the peculiar properties of the crystalline potential.