Big Data and Economics: Brazil - Columbia University...Big Data and Economics: Brazil Roberto...
Transcript of Big Data and Economics: Brazil - Columbia University...Big Data and Economics: Brazil Roberto...
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Big Data and Economics: Brazil
Roberto Rigobon MIT, CSAC, CNStat, NBER
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Data Information Knowledge
Big Distance!
The world is not lacking of Data
Lacking of Careful Empirical Analysis
Lacking of Managerial Data Analysis
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Different Types of Data
Data
Designed
Survey
Aggregate
Administrative
Public
Private
Organic
Aspirational
Transactional
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Online Inflation Rates
Billion Prices Project
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Countries covered
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Billion Prices Project
• Date • Item • Price • Description
Our Approach to Daily Inflation Statistics
Use scraping technology
Connect to thousands of online retailers every day
Find individual items
Develop daily inflation statistics for ~20 countries
1 2 3 4 5 Store and process key item information in a database
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USA
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USA: Anticipation
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Real Exchange Rates
Thousand BigMac Indexes
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Thousands Big Mac’s Project
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Compare prices for a bottle of Coke across countries
• Online prices represent an effective tool to measure PPP fluctuations
– Identical items sold around the world – Detailed descriptions to achieve a nearly
perfect matching – Daily Prices
• PPP indices: – More than 300 narrow product
categories – With thousands individually matched
items – In food, fuel, and electronics: we are
missing clothing, personal care, household products.
– Cars we will never match
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Two exchange rates
• E: Nominal Exchange Rate – Determined in financial markets
• Uncovered and covered interest rate parity • Order Flows
• Eppp: Implied Exchange Rate – Computed from retailer’s relative prices
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UK
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What can explain the divergence?
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Core
• Direct effect: exclusion procedure – Food, gasoline, taxes, etc. are part of the
consumption basket. – The direct effect is eliminated by exclusion
• Indirect effect: pass-through procedure – Oil has an impact on gasoline, transportation,
imported items, cost of energy, etc. – The indirect effect cannot be computed by
exclusion procedures
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US Core in the Long Run
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US Core: Where are we now?
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Possibilities
• New technologies allow us to gather data differently – Need to understand the mapping between the data and
the information • More data is NOT always better • Understand the weaknesses in the data
• Working on more ambitious projects – Housing Inflation and Bubbles: USA – Labor Market Conditions: USA and Colombia – GDP: In Sao Paolo – Household Stress: España and Mexico
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