Deriugina, Elena; Guseva, Maria; Ponomarenko, Alexey - In: Journal of Central Banking Theory and Practice 11 (2022) 1, pp. 87-104
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 these artificial datasets occur in the vicinity of credit cycle peaks … that the measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We …
