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...

We set up an agent-based model that generates realistic credit cycles. Using artificial data sets, we show that fluctuations in the implicit measures of the natural rate of interest (obtained using a conventional model) may occur in the vicinity of credit cycle peaks without any underlying...

The paper investigates to what extent some basic tools of the ECBs monetary analysis can be useful for other central banks given their specific institutional, economic and financial environment. We take the case of the Bank of Russia in order to show how to adjust methods and techniques of...

When a central bank accumulates foreign reserves, there are two possible ways of balance of payments adjustment: (1) decreasing commercial banks' net foreign assets and,(2) decreasing the non-banking sector's net foreign assets and/or increasing the current account surplus. In the latter case,...