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Price discovery under crisis: uncovering the determinant factors of prices using efficient Bayesian model selection methods

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  • Athanassios Petralias
  • Pródromos Prodromídis

Abstract

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. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Athanassios Petralias & Pródromos Prodromídis, 2015. "Price discovery under crisis: uncovering the determinant factors of prices using efficient Bayesian model selection methods," Empirical Economics, Springer, vol. 49(3), pages 859-879, November.
    • Handle: RePEc:spr:empeco:v:49:y:2015:i:3:p:859-879
    DOI: 10.1007/s00181-014-0895-6
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    More about this item

    Keywords

    Prices; Taxes; Discount and retail sales variable selection; Population MCMC; Subspace Carlin and Chib; Greece; C11; E31;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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