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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 thedoi:10.2478/jcbtp-2022-0004 fatcat:cc44xzawr5chvklcz2cc6uctxa