Scraped data and prices in macroeconomics

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, co-authored with Roberto Rigobon, formally tests one of these facts--the bimodality of the size of changes--in a larger sample of 37 supermarkets in 23 countries. It uses two statistical tests--Hartigan's Dip and Silverman's Bandwidth--and proposes a new method--the Proportional Mass Test--to measure the de