Price discovery under crisis: uncovering the determinant factors of prices using efficient Bayesian model selection methods
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We seek to uncover the determinants of consumer prices in Greece by considering a large set of potential factors and accounting for delayed effects. To accomplish this, we rely on recently presented Bayesian model selection methods which are efficiently adapted in the present context. Consumer prices drop significantly during the periods of discount sales, especially in the last 2 years; VAT changes are mostly absorbed (above 50 %) by the producers, while a drop in retail sales affects prices with a significant lag (of 6 months). Evidence on the ways several other factors affect prices is also obtained.
KeywordsPrices Taxes Discount and retail sales variable selection Population MCMC Subspace Carlin and Chib Greece
JEL ClassificationC11 E31
We appreciate the suggestions of participants to the 26th Panhellenic Statistics Conference and of an anonymous referee who helped us clarify some issues. The usual disclaimer applies.
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