Deriugina, Elena; Guseva, Maria; Ponomarenko, Alexey - In: Journal of central banking theory and practice 11 (2022) 1, pp. 87-104
We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on...