Scraped Data and Sticky Prices

Alberto  Cavallo

Article | Review of Economics and Statistics | March 2018

Scraped Data and Sticky Prices

Abstract

I use daily prices collected from online retailers in five countries to study the impact of measurement bias on three common price stickiness statistics. Relative to previous results, I find that online prices have longer durations, with fewer price changes close to zero, and hazard functions that initially increase over time. I show that time-averaging and imputed prices in scanner and CPI data can fully explain the differences with the literature. I then report summary statistics for the duration and size of price changes using scraped data collected from 181 retailers in 31 countries.

Keywords: online data; scraped data; sticky prices; scanner data; consumer price index; Price; Data and Data Sets;

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Cavallo, Alberto. "Scraped Data and Sticky Prices." Review of Economics and Statistics 100, no. 1 (March 2018): 105–119.

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We use a dataset containing daily prices for thousands of matched retail products in nine countries to study tradable-goods real exchange rates. Prices were collected from the web-sites of large multi-channel retailers and then carefully matched into narrowly-deﬁned prod-uct categories, providing relative price levels data that collectively represent the bulk of expenditures on food, fuel, and consumer electronics in each country. Using bilateral results with the US, we show that relative prices in local currencies co-move closely with nomi-nal exchange rates. Exchange-rate passthrough into relative prices is approximately 75%, compared to 30% with CPI data for the same countries and time periods. We decompose the diﬀerence and show that the majority of the diﬀerence – about 25 percentage points –comes from the use of closely-matched products. The rest of the gap owes about equally to the exclusion of non-tradable sub-categories and to our inclusion of entering and exiting goods. These results suggest that the retail prices for tradable goods can adjust quickly to nominal exchange rate movements and vice-versa, and have important implications for a vast literature that tries to characterize both the level and behavior of real exchange rates over time.

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Scraped Data and Sticky Prices

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