Price Duration Using Daily Online Data: Time- or State-Dependent?

Diego Solórzano and Lenin Arango-Castillo

No 2024-10, Working Papers from Banco de México

Abstract: Using daily retail prices gathered through web scraping in Mexico, we analyze if price changes can be characterized by time-dependent features, like the duration of the price spell, and/or by variables associated with the state of the economy. Through the lens of a duration model, we find evidence of both time- and state-dependency behavior. Favoring time-dependency, on the one hand, estimates indicate that price spells exhibit greater risk of ending every seven days relative to other days in between. Advocating for state-dependency, the probability of price changes seems to be affected by variations in the USD/MXN exchange rate, variations in real point of sales expenditures and the COVID-19 pandemic. Finally, leveraging data gathered via direct visits to brick-and-mortar stores, we also find time-dependency and state-dependency in the duration of price spells.

Keywords: Web scraped retail prices; Duration models; Nominal rigidities; COVID-19 (search for similar items in EconPapers)
JEL-codes: C41 C55 E31 L16 (search for similar items in EconPapers)
Date: 2024-08
New Economics Papers: this item is included in nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.banxico.org.mx/publications-and-press/ ... -8F2461E4A0A7%7D.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2024-10

Access Statistics for this paper

More papers in Working Papers from Banco de México Contact information at EDIRC.
Bibliographic data for series maintained by Subgerencia de desarrollo de sistemas ().