Price discovery under crisis: uncovering the determinant factors of prices using efficient Bayesian model selection methods
- 251 Downloads
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.
- Askari H, Krichene N (2010) Monetary policy and world commodity markets: 2000–2007. PSI Q Rev 63:145–177Google Scholar
- Carlin BP, Chib S (1995) Bayesian model choice via Markov chain Monte Carlo. J R Stat Soc Ser B 57:473–484Google Scholar
- Jail M, Tamayo Zea E (2011) Pass-through of international food prices to domestic inlfation during and after the great recession: evidence from a set of Latin American economies. Desarro Soc 67:135–179Google Scholar
- Liu JS (2001) Monte Carlo strategies in scientific computing. Springer, New YorkGoogle Scholar
- Petralias A (2010) Bayesian model determination and nonlinear threshold volatility models. Ph.D. thesis, Department of Statistics, Athens University of Economics and BusinessGoogle Scholar
- Zhou Y, Johansen AM, Aston JAD (2013) Towards automatic model comparison: an adaptive sequential Monte Carlo approach. Technical Report, University of WarwickGoogle Scholar