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A Hierarchical Bayes Error Correction Model to Explain Dynamic Effects of Price Changes

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Author Info
Fok, D.
Paap, R.
Horváth, C.
Franses, Ph.H.B.F. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University)

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Abstract

The authors put forward a sales response model to explain the differences in immediate and dynamic effects of promotional prices and regular prices on sales. The model consists of a vector autoregression rewritten in error-correction format which allows to disentangle the immediate effects from the dynamic effects. In a second level of the model, the immediate price elasticities, the cumulative promotional price elasticity and the long-run regular price elasticity are correlated with various brand-speciffic and category-speciffic characteristics. The model is applied to seven years of data on weekly sales of 100 different brands in 25 product categories. We find many significant moderating effects on the elasticity of price promotions. Brands in categories that are characterized by high price differentiation and that constitute a lower share of budget are less sensitive to price discounts. Deep price discounts turn out to increase the immediate price sensitivity of customers. We also find significant effects for the cumulative elasticity. The immediate effect of a regular price change is often close to zero. The long-run effect of such a decrease usually amounts to an increase in sales. This is especially true in categories characterized by a large price dispersion, frequent price promotions and hedonic, non-perishable products.

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Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2005-047-MKT Revision_Date: 2009-11-06.

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Date of creation: 08 Sep 2005
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Handle: RePEc:dgr:eureri:30007510

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Related research
Keywords: sales; vector autoregression; marketing mix; promotional and regular price; short and long-term effects; hierarchical bayes;

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References listed on IDEAS
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  1. Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984. "Dynamic specification," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100 Elsevier. [Downloadable!] (restricted)
  2. Moriarty, Mark M., 1985. "Transfer function analysis of the relationship between advertising and sales: A synthesis of prior research," Journal of Business Research, Elsevier, vol. 13(3), pages 247-257, June. [Downloadable!] (restricted)
  3. Wieringa, Jaap E. & Horvath, Csilla, 2005. "Computing level-impulse responses of log-specified VAR systems," International Journal of Forecasting, Elsevier, vol. 21(2), pages 279-289. [Downloadable!] (restricted)
  4. Srinivasan, S. & Pauwels, K.H. & Hanssens, D.M. & Dekimpe, M.G., 2002. "Do Promotions Benefit Manufacturers, Retailers or Both?," Research Paper ERS-2002-21-MKT Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  5. Richard Paap & Philip Hans Franses, 2000. "A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 717-744. [Downloadable!]
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  1. Kiygi Calli M. & Weverbergh M. & Franses P.H., 2008. "Modeling the Effectiveness of Hourly Direct-Response Radio Commercials," Working Papers 2008005, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
  2. Heerde, H.J. van & Helsen, K. & Dekimpe, M.G., 2005. "Managing Product-Harm Crises," Research Paper ERS-2005-044-MKT Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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