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Price duration using daily online data: Time- or state-dependent?

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  • Solórzano, Diego
  • Arango-Castillo, Lenin

Abstract

Using daily retail prices gathered through web scraping in Mexico, we analyse time- and state-dependent price setting rules as determinants of the duration of price spells, or the probability of price changes. Through the lens of a duration model, we find some evidence of state-dependent behaviour, which suggests that sheer time-dependent pricing models are unable to fully describe the features of the data. Specifically, we find statistically significant impacts on the probability of a price change of the COVID-19 pandemic, of variations in the nominal US/MXN exchange rate and of variations of real point of sales expenditures. Finally, leveraging price data gathered via direct visits to brick-and-mortar stores, we find that the state of the economy has similar impacts on the expected duration of price spells across both websites and physical stores.

Suggested Citation

  • Solórzano, Diego & Arango-Castillo, Lenin, 2025. "Price duration using daily online data: Time- or state-dependent?," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 6(2).
    • Handle: RePEc:eee:lajcba:v:6:y:2025:i:2:s2666143824000206
    DOI: 10.1016/j.latcb.2024.100138
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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure

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