Scraped data and prices in macroeconomics

Alberto F. Cavallo

This dissertation consists of three chapters on the microeconomic behavior of prices and its implications for macroeconomic models. It uses Scraped Data collected on a daily basis from online retailers to provide empirical insights on the behavior of individual prices in a much larger set of countries and economic contexts that has been previously possible in the micro-price literature. The first chapter presents stylized empirical facts on price stickiness in four emerging economies. It shows that the distribution in the size of price changes is bimodal--with few changes close to zero percent--the aggregate hazard functions are upward sloping or hump-shaped, and there is synchronization of price changes for competing brands. These facts challenge commonly-held views in the price-stickiness literature that have greatly influenced theoretical work in the past. The second chapter,...