Repricing Avalanches in the Billion-Prices Data

15 Pages Posted: 20 Aug 2021 Last revised: 2 Sep 2021

See all articles by Laura Leal

Laura Leal

Princeton University

Haaris Mateen

C. T. Bauer College of Business, University of Houston

Makoto Nirei

University of Tokyo

José A. Scheinkman

Columbia University; Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: September 2, 2021

Abstract

Nirei and Scheinkman (2021) proposed an equilibrium model of price adjustments with menu-costs with a finite number of firms and derived a "reproduction number" for repricing and a limit functional form for the distribution of the number of simultaneously price-adjusting firms. We show that the distribution of price-changes in data from the Billion Prices Project is well fitted by this functional form and exhibits a reproduction number that is close to unity, indicating that complementarity in price-changes plays a major role in repricings.

Suggested Citation

Leal, Laura and Mateen, Haaris and Nirei, Makoto and Scheinkman, José, Repricing Avalanches in the Billion-Prices Data (September 2, 2021). Available at SSRN: https://ssrn.com/abstract=3907149 or http://dx.doi.org/10.2139/ssrn.3907149

Laura Leal

Princeton University ( email )

United States

Haaris Mateen

C. T. Bauer College of Business, University of Houston ( email )

United States

Makoto Nirei

University of Tokyo ( email )

7-3-1 Hongo
Bunkyo-ku
Tokyo, 113-0033
Japan

José Scheinkman (Contact Author)

Columbia University ( email )

3022 Broadway
New York, NY 10027
United States

Princeton University - Department of Economics ( email )

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Princeton, NJ 08544
United States
609-258-4020 (Phone)
609-258-6419 (Fax)

HOME PAGE: http://www.princeton.edu/~joses

National Bureau of Economic Research (NBER) ( email )

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Cambridge, MA 02138
United States

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