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:
- “The Price Impact of Joining a Currency Union: Evidence from Latvia“, Alberto Cavallo, Brent Neiman and Roberto Rigobon (2014).
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.
- “Inflation Expectations, Learning, and Supermarket Prices: Evidence from Field Experiments”, Alberto Cavallo, Guillermo Cruces and Ricardo Perez-Truglia (2013).
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.
- “Prices and Supply Disruptions during Natural Disasters“, Alberto Cavallo, Eduardo Cavallo and Roberto Rigobon (2013).
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.
- “Currency Unions, Product Introductions, and the Real Exchange Rate“, Alberto Cavallo, Brent Neiman and Roberto Rigobon (2013).
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.
- “Online vs Official Price Indexes: Measuring Argentina′s Inflation“, Alberto Cavallo (2012).
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.
- “Scraped Data and Sticky Prices“, Alberto Cavallo (2012).
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.
- “The Distribution of the Size of Price Changes“, Alberto Cavallo and Roberto Ribogon (2011).
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.