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Forecasting negative yield‐curve distributions

Author

Listed:
  • Jae‐yun Jun

    (Ecole Centrale d'Electronique)

  • Victor Lebreton

    (Ecole Centrale d'Electronique)

  • Yves Rakotondratsimba

    (Ecole Centrale d'Electronique)

Abstract

Negative interest rates have been present in various marketplaces since mid‐2014, following the negative interest rate policy (NIRP) adopted by the European Central Bank to raise economic growth. The well‐known historical approach (HA) appears to be a good resource. By tweaking the HA, we derive a very tractable data‐driven tool that allows practitioners to generate yield‐curve distributions at future discrete time horizons. We thereby provide a robust and easy‐to‐understand forecasting model, suitable for the NIRP context, allowing an appreciation of its predictive power. Besides the methodological development herein, various numerical illustrations are presented to shed light on the benefits (and limitations) of this forecasting approach.

Suggested Citation

  • Jae‐yun Jun & Victor Lebreton & Yves Rakotondratsimba, 2020. "Forecasting negative yield‐curve distributions," Post-Print hal-05240516, HAL.
    • Handle: RePEc:hal:journl:hal-05240516
    DOI: 10.1002/for.2727
    as

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