Repricing Avalanches in the Billion-Prices Data

15 Pages Posted: 20 Aug 2021 Last revised: 2 Sep 2021

See all articles by Laura Leal

Laura Leal

Princeton University

Haaris Mateen

Columbia University

Makoto Nirei

The University of Tokyo

José A. Scheinkman

Columbia University; Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

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Date Written: September 2, 2021

Abstract

Nirei and Scheinkman (2021) proposed an equilibrium model of price adjustments with menu-costs with a finite number of firms and derived a "reproduction number" for repricing and a limit functional form for the distribution of the number of simultaneously price-adjusting firms. We show that the distribution of price-changes in data from the Billion Prices Project is well fitted by this functional form and exhibits a reproduction number that is close to unity, indicating that complementarity in price-changes plays a major role in repricings.

Suggested Citation

Leal, Laura and Mateen, Haaris and Nirei, Makoto and Scheinkman, José, Repricing Avalanches in the Billion-Prices Data (September 2, 2021). Available at SSRN: https://ssrn.com/abstract=3907149 or http://dx.doi.org/10.2139/ssrn.3907149

Laura Leal

Princeton University ( email )

United States

Haaris Mateen

Columbia University ( email )

3022 Broadway
New York, NY 10027
United States

Makoto Nirei

The University of Tokyo ( email )

7-3-1 Hongo
Bunkyo-ku
Tokyo, 113-0033
Japan

José Scheinkman (Contact Author)

Columbia University ( email )

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New York, NY 10027
United States

Princeton University - Department of Economics ( email )

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