Liquidity measures on the Polish sovereign panel
Cross-sectional medians of standard microstructure liquidity measures across the BondSpot panel, monthly from 2005 to today. Data are computed at the bond-day level and aggregated to monthly cross-sectional medians (means for ZTD and the composite z-score).
Read the short — "Six microstructure measures, one composite"Bid-ask spread (basis points)
Cross-sectional median (line) plus 25th–75th percentile band across the BondSpot panel each month. Spreads in basis points of yield, computed from BondSpot best bid and best ask fixings.
Zero-trading-day share (% of bond-days)
Average share of bond-days within the cross-section for which no trades occurred. A higher series indicates a less continuously-traded panel.
Composite liquidity z-index
Standardised average of the underlying liquidity measures (BAS, Amihud, Roll, gamma, Corwin-Schultz, ZTD), with positive values indicating less liquid markets and negative values indicating more liquid markets relative to the panel-period mean.
Amihud illiquidity (median)
Cross-sectional median of the Amihud (2002) ratio: |daily return| / daily turnover. Higher values indicate larger price impact per unit traded.
Roll implicit spread (median)
Cross-sectional median of the Roll (1984) implicit spread estimator: 2 × √(-cov(Δp_t, Δp_{t-1})). Set to NA where the autocovariance is positive.
Corwin-Schultz high-low spread (median)
Cross-sectional median of the Corwin-Schultz (2012) high-low spread estimator. A robust intra-day spread proxy that doesn't require quote data.
Cross-section size — bonds in the monthly panel
Number of distinct ISINs included in the BondSpot panel each month. Drives the precision of the cross-sectional medians and means above.
Table 6 — aggregate price of liquidity (debt & macro on BAS, TP)
Monthly time-series regressions of the outstanding-weighted bid-ask spread (BAS, in bp) and ACM term premia (in bp) on the supply and macro block, 2012:01 to 2025:12, n = 167 months, Newey-West standard errors with 12 lags. TP 10Y BC is the BRW bias-corrected ten-year term premium. Controls beyond the NBP rate (CPI YoY, EUR/PLN log-return, nominal GDP YoY, COVID dummy) are included but suppressed. Two headline results: (1) total State Treasury debt is priced into the term premium, not into the quoted spread — venue caps on BAS bind, while TP absorbs supply pressure; (2) the maturity gradient on debt and debt-to-GDP is monotonically increasing, the empirical signature of a preferred-habitat mechanism rather than a uniform additive risk channel.
| Regressor | BAS agg. (bp) | TP 2Y (bp) | TP 5Y (bp) | TP 10Y (bp) | TP 10Y BC (bp) |
|---|---|---|---|---|---|
| Total debt (per 1bn PLN) | −0.002 | 0.058* | 0.202*** | 0.231*** | 0.231** |
| SE | (0.004) | (0.034) | (0.068) | (0.089) | (0.090) |
| Foreign share (pp) | 0.141 | 0.269 | 1.279 | 1.635 | 1.298 |
| SE | (0.086) | (0.856) | (1.698) | (2.280) | (2.326) |
| NBP share (pp) | −0.244 | 0.071 | 3.946 | 3.932 | 1.426 |
| SE | (0.367) | (1.207) | (2.490) | (2.979) | (3.099) |
| Debt/GDP (pp) | 0.086 | 3.292** | 5.404** | 8.055** | 7.758** |
| SE | (0.148) | (1.437) | (2.707) | (3.726) | (3.720) |
| Gross issue 12m (per 1bn PLN) | −0.007 | −0.174 | −0.432 | −0.515 | −0.561 |
| SE | (0.017) | (0.141) | (0.302) | (0.383) | (0.392) |
| NBP rate (pp) | 0.246 | 20.71*** | 40.68*** | 53.08*** | 52.73*** |
| SE | (0.196) | (1.827) | (3.769) | (5.058) | (4.889) |
| R² | 0.315 | 0.879 | 0.897 | 0.886 | 0.882 |
| N months | 167 | 167 | 167 | 167 | 167 |
Source: Dec (2025), liquidity_paper_v5, Table 6. Significance codes: * p < 0.10, ** p < 0.05, *** p < 0.01.
Methodology: bid-ask spread (BAS) computed from BondSpot best-bid / best-ask fixings; zero-trading-day (ZTD) frequency from BondSpot turnover-volume records; Amihud (2002) illiquidity ratio; Roll (1984) implicit spread; Pastor-Stambaugh γ from daily return-on-flow regressions; Corwin-Schultz (2012) high-low spread estimator; composite z-score = mean of standardised measures. All measures computed at the bond-day level and aggregated to monthly cross-sectional medians (or means for ZTD and composite). See about page for full methodology references.