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Scraped Data and Sticky Prices

62 Pages Posted: 2 May 2012 Last revised: 5 Nov 2012

Alberto Cavallo

Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Date Written: April 4, 2012

Abstract

This paper introduces Scraped Data as a new source of micro-price information for the study of sticky prices. Scraped data are collected from online retailers and have a unique advantage in sampling frequency, product details, and country availability. Using daily prices of 80 thousand products in four countries, between 2007 and 2010, I present three new empirical results. First, the distribution of the size of price changes is bimodal, with few changes close to zero percent. Second, hazard functions are hump-shaped, with the probability of a price change increasing for the first 40 to 90 days. Third, there is daily synchronization in the timing of price changes among closely competing brands. These findings are consistent with adjustment costs and strategic interactions in price-setting decisions.

Keywords: Scraped Data, Online Data, Sticky Prices

JEL Classification: E30, E60

Suggested Citation

Cavallo, Alberto, Scraped Data and Sticky Prices (April 4, 2012). MIT Sloan Research Paper No. 4976-12. Available at SSRN: https://ssrn.com/abstract=1711999 or http://dx.doi.org/10.2139/ssrn.1711999

Alberto Cavallo (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

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