Abstract 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 these artificial datasets occur in the vicinity of credit cycle peaks without any underlying changes in fundamentals (that is the agents’ type or their behaviour). The empirical analysis confirms that the measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We conclude that a decline in the estimated natural rates of interest does not necessarily indicate changes in macroeconomic fundamentals. Instead, it may simply reflect the innate properties of the measurement technique in the vicinity of credit cycle peaks.

中文翻译：

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自然利率的信贷周期和计量

摘要：我们使用特别的新凯恩斯模型和易于处理的基于代理的模型进行了蒙特卡洛实验，以生成人工信用周期事件。我们表明，在这些人工数据集上使用传统的三元卡尔曼滤波器获得的自然利率隐含测量值的波动发生在信贷周期峰值附近，而基本面没有任何潜在的变化（即代理人的类型或他们的行为） . 实证分析证实，自然利率的衡量指标往往会在信贷周期达到峰值之前增加，之后会降低。我们得出的结论是，估计的自然利率下降并不一定表明宏观经济基本面发生了变化。反而，