Our Research

Our research uses high-frequency item-level data to study pricing topics in Macroeconomics and International Economics. Links to some of our papers using online data:

We describe our work with online data at the Billion Prices Project at MIT and discuss key lessons for both inflation measurement and some fundamental research questions in macro and international economics. We show how online prices can be used to construct daily price indexes in multiple countries and to avoid measurement biases that distort evidence of price stickiness and international relative prices.

Online prices are increasingly being used for measurement and research applications, yet little is known about their relation to prices collected offline, where most retail transactions take place. I conduct the first large-scale comparison of prices simultaneously collected from the websites and physical stores of 56 large multi-channel retailers in 10 countries. I find that price levels are identical about 72 percent of the time. Price changes are not synchronized but have similar frequencies and average sizes. These results have implications for National Statistical Offices, researchers using online data, and anyone interested in the effect of the Internet on retail prices.

Using field experiments with about 10,000 subjects across United States and Argentina, we find that both models of rational inattention and learning from personal experience are relevant in the formation of inflation expectations. Individuals learn from (readily available) inflation statistics, but also assign weight to their own memories of price changes.

Introduces scraped data as a new source of micro-price information to study sticky prices, as they have an advantage in sampling frequency, product details, and country availability. Data from 80,000 products indicate that the distribution of price changes is bimodal, and that hazard functions are hump-shaped. In addition, there exists a daily synchronization in the timing of price changes among closely competing brands.

We provide evidence that the law of one price holds very well within currency unions, but exhibits significant deviations outside of currency unions, even when the nominal exchange is pegged. In addition, a new decomposition shows that most of the cross-country variation in good-level real exchange rates occurs at the time products are first introduced.

We show that the online price indexes approximate both the levels and main dynamics of the official inflation in several Latin American countries. A consistent divergence is found in Argentina after its official Statistics Office became questioned.

We provide a consumer price index for Argentina that uses official CPI data from 1943 to 2007 and chain it to an online price index which spans from 2007 to the present. The chained index will be updated regularly on a monthly basis until a new official CPI is released.

Inflation series available here: Argentina_inflation.csv , Argentina_inflation.xls 

We study how individuals learn from potentially-biased statistics using data from both a natural and a survey-based experiment obtained during a period of government manipulation of inflation statistics in Argentina (2006-2015). Our evidence suggests that households react in a sophisticated way, effectively de-biasing the official data to extract all its useful content, and that they have an asymmetric reaction to inflation signals, with expectations changing more when the inflation rate rises than when it falls.

We show that membership in a currency union does matter for prices and for a country’s real exchange rate. We consider the case of Latvia, which recently dropped its pegged exchange rate and joined the euro zone. Price dispersion between Latvia and euro zone countries collapsed swiftly following entry to the euro. For example, the percentage of goods with nearly identical prices in Latvia and Germany increased from 6 percent to 89 percent.

We show that the standard empirical specification traditionally used to estimate “border effects” suffers from selection bias. We propose an alternative methodology that we apply in the context of online-offline price dispersion to measure an online-border effect in the city of Montevideo, Uruguay. We argue that these results can be applied in international trade and in other areas to measure any kind of border effect.

We study supermarket prices and product availability following the 2010 earthquake in Chile and the 2011 earthquake in Japan. In both cases there was an immediate and persistent effect on product availability, whereas prices remained stable. The number of goods available for sale fell 32% in Chile and 17% in Japan. Results in Chile are consistent with pricing models of fear of “customer anger”, whereas Japan’s suggest a bigger role for supply disruptions that restricted the ability to re-stock goods.

We test the number of modes in the price change distribution using online prices. Three modality tests, including a Proportional Mass (PM) test designed in this paper, largely reject unimodality. A simulation suggests that price changes are a combination of both time and state-dependent pricing behaviors.