Data and Code for: Substitution Bias and Fixed-Weight Price Indices in Time-Dependent Pricing Models

This paper compares measured inflation in true and fixed-weight price<br>indices. We construct model-based inflation measures in time-dependent<br>pricing models that are analogous to measures of inflation in the<br>data, e.g., the Consumer Price Index. In the standard new Keynesian<br>model, when inflation rises rapidly, the differences between inflation<br>in those indices and true price indices are increasing in the degree<br>of price stickiness and the elasticity of substitution across goods.<br>For commonly used parameter values, those differences are large and<br>persistent for increases in inflation of the size seen after 2020<br>in the U.S.