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Measuring a Dynamic Price Index Using Consumption Data

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  • SHUHEI AOKI
  • MINORU KITAHARA

Abstract

We propose a new method of constructing a dynamic price index (DPI). Under standard assumptions, our DPI is as stable as the Consumer Price Index (CPI). In certain periods, the DPI differs sharply from the CPI.

Suggested Citation

  • Shuhei Aoki & Minoru Kitahara, 2010. "Measuring a Dynamic Price Index Using Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(5), pages 959-964, August.
    • Handle: RePEc:wly:jmoncb:v:42:y:2010:i:5:p:959-964
    DOI: 10.1111/j.1538-4616.2010.00315.x
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    References listed on IDEAS

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    1. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
    2. Reis, Ricardo, 2005. "A cost-of-living dynamic price index, with an application to indexing retirement accounts," CEPR Discussion Papers 5394, C.E.P.R. Discussion Papers.
    3. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
    4. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany.
    5. Shiratsuka, Shigenori, 1999. "Asset Price Fluctuation and Price Indices," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(3), pages 103-128, December.
    6. Hiroshi Shibuya, 1992. "Dynamic Equilibrium Price Index: Asset Price and Inflation," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 10(1), pages 95-109, February.
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    Cited by:

    1. Patrick Sillard & Lionel Wilner, 2015. "Constant utility index and inter-month substitution," Economics Bulletin, AccessEcon, vol. 35(3), pages 1772-1781.

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