Price duration using daily online data: Time- or state-dependent?

Diego Solórzano and Lenin Arango-Castillo

Latin American Journal of Central Banking (previously Monetaria), 2025, vol. 6, issue 2

Abstract: Using daily retail prices gathered through web scraping in Mexico, we analyse time- and state-dependent price setting rules as determinants of the duration of price spells, or the probability of price changes. Through the lens of a duration model, we find some evidence of state-dependent behaviour, which suggests that sheer time-dependent pricing models are unable to fully describe the features of the data. Specifically, we find statistically significant impacts on the probability of a price change of the COVID-19 pandemic, of variations in the nominal US/MXN exchange rate and of variations of real point of sales expenditures. Finally, leveraging price data gathered via direct visits to brick-and-mortar stores, we find that the state of the economy has similar impacts on the expected duration of price spells across both websites and physical stores.

Keywords: Web scraped retail prices; Duration models; Nominal rigidities; COVID-19 (search for similar items in EconPapers)
JEL-codes: E31 L16 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:lajcba:v:6:y:2025:i:2:s2666143824000206

DOI: 10.1016/j.latcb.2024.100138

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