Indices de prix à utilité constante et substitutions intermensuelles

In this paper we aim at measuring the cost-of-living thanks to a constant utility price index derived from monthly nested ces preferences. Such a cost-of-living index (coli) accounts for substitutions across months within a year. A simulation evaluates this form of intertemporal substitution bias between .02 and .1 pp per year, which amounts to an important part of the total substitution bias comprised between .05 and .4 pp. In practice, this paper suggests to weight the annual consumption price index using monthly budget shares and to approximate the cost-of-living with a Fisher index.