Mapping less-liquid sovereign bond markets.
Interactive yield-curve, term-premium, liquidity, and expectations-hypothesis dashboards built on a 21-year daily panel of Polish sovereigns, with comparative views against US and euro-area benchmarks. Open methodology, publicly available data, frequent refreshes.
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Yield curves
Daily NSS-fitted zero-coupon yield curves on the Polish sovereign panel from 2005 to today. Interactive snapshot viewer, bond bubbles, 1y forwards, NBP forecasters, US and euro-area comparison, and PCA loadings.
Term premia
Adrian-Crump-Moench and Bauer-Rudebusch-Wu decompositions across 1y, 2y, 5y, 10y horizons. Cross-country term-spread comparison and full ACM-vs-BRW correlation heatmap.
Oracle
The next NBP move, priced and parsed: the ACM and BRW bias-corrected market path, the professional-forecaster survey, and the lexical tone of the MPC minutes, blended into one next-move gauge with two decades of monthly history behind a slider.
MPC minutes
Text-mining of every NBP MPC decision-making meeting minute since April 2007. Hawkish-dovish tone with rate path, eight macro topics, year-by-year word clouds, pairwise meeting similarity, and an interactive term tracker.
Liquidity measures
Bid-ask spreads, zero-trading-day frequency, Amihud illiquidity, Roll, Corwin-Schultz and a composite index across the BondSpot panel — monthly aggregates from 2005 to today.
Total return
Seven-component decomposition (coupon, reinvestment, roll-down, expected-rate change, term-premium change, convexity, residual) of every Polish Treasury bond's quarterly total return. TBSP-level cards and per-bond explorer over 2006-2026.
Expectations hypothesis tests
Fama-Bliss FB1 cross-market β heatmaps for Poland, the US and the euro area, macro-spanning regressions, Cochrane-Piazzesi factor and out-of-sample STV — all from the EH paper.
Shorts
Two-page summaries of the four working papers behind these dashboards. Each short carries one headline figure, one key table, and a "what this means for practitioners" line. Comments open at the bottom of every short.
Movies
4K daily time-lapses of the Polish sovereign curve, term premia, fit diagnostics and forecast family — full 21-year version plus the last-5-years zoom. Embedded YouTube, full resolution available on the channel.
About the project
Author bio, methodology, data sources, full publications list with DOIs, and a contact form for collaboration enquiries.
What this is
This site publishes daily-refreshed sovereign yield-curve estimates, term-premium decompositions, liquidity diagnostics, and expectations-hypothesis test outputs for less-liquid sovereign bond markets. The Polish curve is the running empirical case, with the methodology general enough to extend to other Central and Eastern European sovereigns. The underlying methods follow the published research programme on liquidity-weighted Nelson-Siegel-Svensson curve fitting, Adrian-Crump-Moench affine term-structure modelling, the Bauer-Rudebusch-Wu small-sample bias correction, and the Fama-Bliss / Cochrane-Piazzesi family of expectations-hypothesis tests.
Everything is built from publicly-available data: BondSpot venue closing fixings, Polish Ministry of Finance disclosures of outstanding amounts and turnover, NBP monetary-policy rates, the NBP Survey of Professional Forecasters, the GSW US Treasury zero-coupon panel, and the ECB AAA spot-rate database.
Latest
Daily snapshots refreshed continuously. Curves and cross-country comparison panels refreshed daily. Term-premia dashboard refreshed weekly. Liquidity and EH-tests dashboards refreshed monthly. Working papers and publications listed on the about page.
Data lineage & freshness
Most recent observation timestamp and source file for every upstream input feeding this site, refreshed on every build. The Polish-side feeds (BondSpot, Min-Fin, NBP) are scraped daily by the pipeline. The US (FRB GSW) and euro-area (ECB AAA) Svensson-parameter feeds are pulled daily from the Federal Reserve Board and the ECB Data Portal and then re-fitted onto the canonical zero-coupon grid.