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Reassessing Sticky Price Models through the Lens of Scraped Price Data

Tomás Carrera de Souza ()
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Tomás Carrera de Souza: De Nederlandsche Bank

Ensayos Económicos, 2022, vol. 1, issue 79, 66-108

Abstract: What micro facts of price changes should be considered in the incorporation of price rigidities into macro models? To answer this, I exploit a novel micro data set obtained with web scraping techniques, containing daily prices of eight retailers from six countries with heterogeneous macroeconomic conditions. I find that: (1) There is a relation between the main statistics (related to the size and frequency of price adjustment) and the inflation rate of a country; (2) The distribution of the size of price changes has a relatively small, yet nontrivial mass around zero; (3) Familiar products from the same manufacturer have greater similarity in the timing and magnitude of price adjustment than heterogeneous products. I show that incorporating a three-dimensional cost –composed by a general cost, a product-specific cost, and a cost curtail for price changes in familiar products– makes an otherwise standard menu cost model reproduce these facts.

Keywords: price rigidities; menu costs; monetary policy; sticky prices; web scraping (search for similar items in EconPapers)
JEL-codes: C81 D22 E31 E52 (search for similar items in EconPapers)
Date: 2022
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Handle: RePEc:bcr:ensayo:v:1:y:2022:i:79:p:66-108