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It seems the highest-frequency consumer price index (CPI) data available is monthly. How does one convert weekly or daily price data into real prices?

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You don’t. CPI is a proxy for the fantastical concept of a real price. Any measure will have theoretical implications (Australia’s CPI makes some very funny housing assumptions, for example).

As the measure is a proxy for a theorised but unreachable category, and as the measure is only available at its noted frequencies you can’t create a line. Part of the measure is its frequency.

This is impossible for two reasons:

  • proxies are just that
  • a measure which is grounded in theoretical assumptions and produced with a frequency can’t be resolved smaller than that frequency

You might look into producing a new measure acting as a proxy with a desired frequency, but only state agents and historians tend to go about these windmill fights.

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