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.

中文翻译：

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预测负曲线的负分布

自2014年中以来，随着欧洲央行为提高经济增长而采取的负利率政策（NIRP），各个市场都出现了负利率。众所周知的历史方法（HA）似乎是很好的资源。通过调整HA，我们得到了一个非常易于处理的数据驱动工具，使从业人员可以在将来的离散时间范围内生成收益曲线分布。因此，我们提供了一个健壮且易于理解的预测模型，该模型适用于NIRP环境，从而可以提高其预测能力。除了本文的方法论发展外，还提供了各种数字图示，以阐明这种预测方法的优点（和局限性）。