javax.swing.JTextField price;

private void setUpTextField() {
    price = new javax.swing.JTextField("0");
    price.addKeyListener(new java.awt.event.KeyAdapter() {
        @Override
        public void keyTyped(java.awt.event.KeyEvent e) {
            testIfEmpty(e);
        }
    }
}

private void testIfEmpty(java.awt.event.KeyEvent e) {
    if(price.getText().isEmpty()) {
        price.setText("0");
    }
}