Do the daily listing prices of competitors affect long-run demand in the P2P accommodation market?

This paper analyses whether peer-to-peer (P2P) listings are long-run substitutes for neighbouring P2P listings. To do this, we use a demand framework in which we link the P2P demand (occupancy rate of listings) with both own and competitors' prices in a flexible multivariate time series fractionally cointegrated vector autoregressive (FCVAR) context. The empirical analysis is based on daily data from the Canary Islands P2P accommodation market from January 2016 to September 2021. Results indicate several aspects. First, there is a long-run equilibrium with one cointegration relation between occupancy rates and own and competitors' prices. Second, own price elasticity of demand is negative and competitors' price elasticity is positive, with the effect of competitors' prices being larger (in absolute value) than that of own prices. Third, the estimated adjustment coefficients indicate that it is rather the occupancy rates and the competitors' prices that react to deviations from the equilibrium while the effect adjustment of own prices is close to 0.