Scraped Data and Sticky Prices

Cavallo, Alberto

doi:10.3386/w21490

Cited by 33 publications

(16 citation statements)

References 27 publications

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“…1 Seminal examples include Bils andKlenow 2004, Nakamura andSteinsson 2009 2 The importance of exploring heterogeneity is underlined by a recent study focused on scraped data by Cavallo (2011) which finds hump-shaped hazards of individual product prices in a few Latin American economies.…”

Section: Introductionmentioning

confidence: 99%

“…Downward sloping hazard functions are typically explained by product heterogeneity: if the hazard for products with very different price durations is estimated jointly, the resulting hazard function has a downward slope since the hazard rate at short durations (when both frequently and seldomly re-priced items are present in the sample) is higher than the hazard rate for longer durations (when all frequently re-priced item have left the sample and we only observe the hazard rates for the less flexible products). The analysis of hazard rates of a finer grid of groups presented by Cavallo (2011) is the only study we are aware of that generates hump-shaped hazards.…”

Section: The Hazard Of Changing Retail Interest Ratesmentioning

confidence: 99%

“…These proxies not only account for the general interest rate dynamics but also allow for heterogeneity across retail responses to aggregate interest rate dynamics based on the variation of bank and market characteristics. Estimating a semi-parametric COX proportional hazard duration model, we find support for state-dependent pricing behavior reflected in the economically and statistically strongly significant impact of general interest 3 We are aware of a study by Cavallo (2011), which also finds hump-shaped hazards using individual product-level scraped data from four Latin American economies.…”

Section: Introductionmentioning

confidence: 99%

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The Duration of Bank Retail Interest Rates

Craig

Dinger

2014

International Journal of the Economics of Business

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. and market characteristics on the duration of prices, and asymmetry in the speed of adjustments to positive and negative cost shocks. We find that the probability of a bank changing its retail rate initially (that is, in roughly the first six months of a spell) increases with time. The most important determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy rate since the last retail rate change. Among bank and market characteristics, the size of the bank, its market share in a given local market, and its geographical scope significantly modify retail rate durations. Retail rates adjust asymmetrically to positive and negative wholesale interest rate changes; the asymmetry of the adjustment is reinforced in part by the bank's market share. This suggests that monopolistic distortions play a vital role in explaining asymmetric price adjustments. Terms of use: Documents in

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Section: Introductionmentioning

confidence: 99%

Section: The Hazard Of Changing Retail Interest Ratesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Duration of Bank Retail Interest Rates

Craig

Dinger

2014

International Journal of the Economics of Business

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“…For the relatively rare periods in which scraping problems resulted in censored data, we simply copy forward the last observed price for each item in each country. We refer the reader to Cavallo, Neiman, and Rigobon (2014) and Cavallo (2012) for additional details on the data collection procedure and country and time coverage.…”

mentioning

confidence: 99%

The Price Impact of Joining a Currency Union: Evidence from Latvia

Cavallo¹,

Neiman²,

Rigobón³

2014

Self Cite

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Does membership in a currency union matter for a country's international relative prices? The answer to this question is critical for thinking about the implications of joining (or exiting) a common currency area. This paper is the first to use high-frequency good-level data to provide evidence that the answer is yes, at least for an important subset of consumption goods. We consider the case of Latvia, which recently dropped its pegged exchange rate and joined the euro zone. We analyze the prices of thousands of differentiated goods sold by Zara, the world's largest clothing retailer. Price dispersion between Latvia and euro zone countries collapsed swiftly following entry to the euro. The percentage of goods with nearly identical prices in Latvia and Germany increased from 6 percent to 89 percent. The median size of price differentials declined from 7 percent to zero. If a large number of firms also behave this way, these results suggest that membership in a currency union has significant implications for a country's real exchange rate.JEL-Codes: E3, F3, F4.

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“…In the literature we can find evidence of using data scraped from web pages to measure inflation, predict unemployment or flu risk. For instance, the Billion Price Project 1 conducted by the Massachusetts Institute of Technology (MIT) web-scrape data from over 60 countries and calculates price indexes and measures of macroeconomic phenomena (Cavallo 2012(Cavallo , 2013. However, the exact methodology and web scraping technique is protected by PriceStats 2 , a start-up based in Cambridge MA.…”

Section: Internet Data Sourcesmentioning

confidence: 99%

On Representativeness of Internet Data Sources for Real Estate Market in Poland

Beręsewicz

2015

AJS

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Shifting paradigms in Official Statistics lead to the widespread use of administrative records in an effort to support or create an alternative for censuses and surveys. At the same time the demand for diversified detailed information is increasing. In order to meet this demand Official Statistics needs to seek new data sources. Internet data sources (IDS), or more generally, big data could be one of them. The potential usefulness of these new sources of statistical information should not be neglected.The aim of the paper is to report on a study intended to assess the representativeness of IDS for the real estate market in Poland. These sources could be used for describing the demand and supply on the secondary real estate market in a more detailed way than is possible with the existing methodology. The degree of representativeness is assessed on the basis of information from official surveys and other data sources. Due to the shortage of relevant literature on the subject, the article provides a definition of IDS and draws on insights from a study conducted by the author to enhance information from Official Statistics. The study involved using information on street names from the National Official Register of the Territorial Division of the Country (TERYT) to harmonize street names obtained from IDS. A special program for automated data collection (web spider ) was developed. All the calculations were made with R (R Core Team 2014) statistical software and additional R packages (XML, RCurl, httr and ggplot2).

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Scraped Data and Sticky Prices

Cited by 33 publications

References 27 publications

The Duration of Bank Retail Interest Rates

The Duration of Bank Retail Interest Rates

The Price Impact of Joining a Currency Union: Evidence from Latvia

On Representativeness of Internet Data Sources for Real Estate Market in Poland

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