The Credit Cycle and Measurement of the Natural Rate of Interest
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Arabinda Basistha, 2007.
"Trend‐cycle correlation, drift break and the estimation of trend and cycle in Canadian GDP,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 584-606, May.
- Arabinda Basistha, 2007. "Trend-cycle correlation, drift break and the estimation of trend and cycle in Canadian GDP," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 584-606, May.
- Andrea Ajello & Thomas Laubach & David López-Salido & Taisuke Nakata, 2019.
"Financial Stability and Optimal Interest Rate Policy,"
International Journal of Central Banking, International Journal of Central Banking, vol. 15(1), pages 279-326, March.
- Andrea Ajello & Thomas Laubach & J. David López-Salido & Taisuke Nakata, 2016. "Financial Stability and Optimal Interest-Rate Policy," Finance and Economics Discussion Series 2016-067, Board of Governors of the Federal Reserve System (U.S.).
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2022.
"Why So Low for So Long? A Long-Term View of Real Interest Rates,"
International Journal of Central Banking, International Journal of Central Banking, vol. 18(3), pages 47-87, September.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2017. "Why so low for so long? A long-term view of real interest rates," BIS Working Papers 685, Bank for International Settlements.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2018. "Why So Low for So Long? A Long-Term View of Real Interest Rates," PIER Discussion Papers 80, Puey Ungphakorn Institute for Economic Research.
- Borio, Claudio & Disyatat, Piti & Juselius, Mikael & Rungcharoenkitkul, Phurichai, 2017. "Why so low for so long? A long-term view of real interest rates," Bank of Finland Research Discussion Papers 36/2017, Bank of Finland.
- Ben S. Bernanke, 2005. "The global saving glut and the U.S. current account deficit," Speech 77, Board of Governors of the Federal Reserve System (U.S.).
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2019.
"Monetary Policy in the Grip of a Pincer Movement,"
Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.),Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, edition 1, volume 26, chapter 10, pages 311-356,
Central Bank of Chile.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2018. "Monetary policy in the grip of a pincer movement," BIS Working Papers 706, Bank for International Settlements.
- repec:fip:fedgsq:y:2005:i:mar10 is not listed on IDEAS
- Željka Asanović, 2020. "Essay on Finance-Growth Nexus," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(1), pages 97-109.
- repec:zbw:bofrdp:2017_036 is not listed on IDEAS
- Belke, Ansgar & Klose, Jens, 2020. "Equilibrium real interest rates and the financial cycle: Empirical evidence for Euro area member countries," Economic Modelling, Elsevier, vol. 84(C), pages 357-366.
- Mr. Douglas Laxton & Mr. Andrew Berg & Mr. Philippe D Karam, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis—Overview," IMF Working Papers 2006/080, International Monetary Fund.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Belke, Ansgar & Klose, Jens, 2021.
"Safe haven flows, natural interest rates and secular stagnation—Empirical evidence for Euro area countries,"
International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1164-1190.
- Belke, Ansgar & Klose, Jens, 2019. "Safe haven flows, natural interest rates and secular stagnation: Empirical evidence for euro area countries," Ruhr Economic Papers 831, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019.
"Global trends in interest rates,"
Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Fiedler, Salomon & Gern, Klaus-Jürgen & Jannsen, Nils & Wolters, Maik H., 2019.
"Growth prospects, the natural interest rate, and monetary policy,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-34.
- Fiedler, Salomon & Gern, Klaus-Jürgen & Jannsen, Nils & Wolters, Maik H., 2019. "Growth prospects, the natural interest rate, and monetary policy," Economics Discussion Papers 2019-17, Kiel Institute for the World Economy (IfW Kiel).
- Bofinger, Peter & Geißendörfer, Lisa & Haas, Thomas & Mayer, Fabian, 2023. "Credit as an instrument for growth: A monetary explanation of the Chinese growth story," W.E.P. - Würzburg Economic Papers 107, University of Würzburg, Department of Economics.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2019.
"Monetary Policy in the Grip of a Pincer Movement,"
Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.),Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, edition 1, volume 26, chapter 10, pages 311-356,
Central Bank of Chile.
- Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2018. "Monetary policy in the grip of a pincer movement," BIS Working Papers 706, Bank for International Settlements.
- Martínez-García, Enrique, 2021.
"Get the lowdown: The international side of the fall in the U.S. natural rate of interest,"
Economic Modelling, Elsevier, vol. 100(C).
- Enrique Martínez García, 2020. "Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest," Globalization Institute Working Papers 403, Federal Reserve Bank of Dallas, revised 20 Feb 2021.
- Phurichai Rungcharoenkitkul & Claudio Borio & Piti Disyatat Author-X-Name_First: Piti, 2019. "Monetary policy hysteresis and the financial cycle," BIS Working Papers 817, Bank for International Settlements.
- Michael Buchner, 2020. "Fiscal Policy in an Age of Secular Stagnation," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(3), pages 398-429, September.
- Boysen-Hogrefe, Jens & Fiedler, Salomon & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan, 2021. "Vermögenspreise, Zinseffekte und die Robustheit der öffentlichen Finanzen in Deutschland - eine Szenario-Analyse," Kieler Beiträge zur Wirtschaftspolitik 36, Kiel Institute for the World Economy (IfW Kiel).
- Ruch,Franz Ulrich, 2021. "Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies," Policy Research Working Paper Series 9711, The World Bank.
- David Hauner & Manmohan Kumar, 2011. "Interest rates and budget deficits revisited-evidence from the G7 countries," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1463-1475.
- Jung Sakong, 2021. "Effect of Ownership Composition on Property Prices and Rents: Evidence from Chinese Investment Boom in US Housing Markets," Working Paper Series WP-2021-12, Federal Reserve Bank of Chicago.
- Denis Gorea & Oleksiy Kryvtsov & Tamon Takamura, 2016. "Leaning Within a Flexible Inflation-Targeting Framework: Review of Costs and Benefits," Discussion Papers 16-17, Bank of Canada.
- Michael G. Plummer, 2012.
"Regional Monitoring of Capital Flows and Coordination of Financial Regulation: Stakes and Options for Asia,"
Chapters, in: Masahiro Kawai & David G. Mayes & Peter Morgan (ed.), Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia, chapter 8,
Edward Elgar Publishing.
- Plummer, Michael, 2010. "Regional Monitoring of Capital Flows and Coordination of Financial Regulation: Stakes and Options for Asia," ADBI Working Papers 201, Asian Development Bank Institute.
- Michael G. Plummer, 2010. "Regional Monitoring of Capital Flows and Coordination of Financial Regulation: Stakes and Options for Asia," Working Papers id:3008, eSocialSciences.
- Michael G. Plummer, 2010. "Regional Monitoring of Capital Flows and Coordination of Financial Regulation : Stakes and Options for Asia," Finance Working Papers 22017, East Asian Bureau of Economic Research.
- Stefan Laséen & Andrea Pescatori, 2020.
"Financial stability and interest‐rate policy: A quantitative assessment of costs and benefit,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(3), pages 1246-1273, August.
- Mr. Andrea Pescatori & Stefan Laseen, 2016. "Financial Stability and Interest-Rate Policy: A Quantitative Assessment of Costs and Benefits," IMF Working Papers 2016/073, International Monetary Fund.
- Manuel Gonzalez-Astudillo & John M. Roberts, 2016. "When Can Trend-Cycle Decompositions Be Trusted?," Finance and Economics Discussion Series 2016-099, Board of Governors of the Federal Reserve System (U.S.).
- Karantounias, Anastasios G., 2023.
"Doubts about the model and optimal policy,"
Journal of Economic Theory, Elsevier, vol. 210(C).
- Anastasios G. Karantounias, 2020. "Doubts about the Model and Optimal Policy," FRB Atlanta Working Paper 2020-12, Federal Reserve Bank of Atlanta.
- Anastasios G. Karantounias, 2023. "Doubts about the model and optimal policy," School of Economics Discussion Papers 0423, School of Economics, University of Surrey.
- Anastasios G. Karantounias, 2023. "Doubts about the model and optimal policy," Discussion Papers 2312, Centre for Macroeconomics (CFM).
- Punzi, Maria Teresa & Kauko, Karlo, 2015.
"Testing the global banking glut hypothesis,"
Journal of Financial Stability, Elsevier, vol. 19(C), pages 128-151.
- Kauko, Karlo & Punzi, Maria Teresa, 2015. "Testing the global banking glut hypothesis," FinMaP-Working Papers 41, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Maria Teresa Punzi & Karlo Kauko, 2015. "Testing the Global Banking Glut Hypothesis," Department of Economics Working Papers wuwp194, Vienna University of Economics and Business, Department of Economics.
- Punzi, Maria Teresa & Kauko, Karlo, 2015. "Testing the Global Banking Glut Hypothesis," Department of Economics Working Paper Series 194, WU Vienna University of Economics and Business.
- Sposi, Michael, 2022.
"Demographics and the evolution of global imbalances,"
Journal of Monetary Economics, Elsevier, vol. 126(C), pages 1-14.
- Michael Sposi, 2017. "Demographics and the Evolution of Global Imbalances," Globalization Institute Working Papers 332, Federal Reserve Bank of Dallas.
- Michael Sposi, 2019. "Demographics and the Evolution of Global Imbalances," Departmental Working Papers 1902, Southern Methodist University, Department of Economics.
- Michael Sposi, 2019. "Demographics and the Evolution of Global Imbalances," 2019 Meeting Papers 262, Society for Economic Dynamics.
- Michael Sposi, 2019. "Demographics and the Evolution of Global Imbalances," Departmental Working Papers 1906, Southern Methodist University, Department of Economics.
- Michael Sposi, 2021. "Demographics and the Evolution of Global Imbalances," Departmental Working Papers 2102, Southern Methodist University, Department of Economics.
More about this item
Keywords
natural rate of interest; credit cycle; Kalman filter; agent-based models.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbk:journl:v:11:y:2022:i:1:p:87-104. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cbmgvme.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.