Shorts
Two-page summaries of the four working papers behind the yieldcartography dashboards. Each short carries a catchy title, ~200 words of setup, one headline figure, one key table, ~200 words of interpretation, and a 50-word "what this means for practitioners" line. Comments are open at the bottom of every short. Cadence: roughly one new short per fortnight.
Does the curve know the next MPC move?
An oracle from bias-corrected forwards and minutes tone. The ACM-BRW market path, the professional-forecaster survey, and the lexical tone of the MPC minutes combine into one next-move score. Inside the tightening band four months before the 2021 liftoff, deep in the loosening band before the September 2023 cut.
Underlying machinery · ACM-BRW term premia, MPC minutes lexicon, NBP Survey of Professional Forecasters implied paths · interactive Oracle tab
The Polish duration trade pays over cash, except in the 2022 storm
TBSP compounded at 4.14% per year since end-2006. Carry and roll-down contributed +413 bp per year on average; the macro-driven curve-move bloc averaged -17 bp per year and is statistically indistinguishable from zero. Condition out the four 2022 NBP-hike quarters and the TBSP-versus-NBP-deposit excess is +46.5 bp per quarter at HAC p = 0.003.
Underlying paper · Dec, M. (2026). Does the term premium pay for the duration? Evidence from Polish sovereigns. Research Square preprint v1, 1 June 2026 · doi:10.21203/rs.3.rs-9849665/v1
Why naive Nelson-Siegel underprices the Polish belly — and what to do about it
Equal-weight NSS leaves a 1.6 bp / day mean fit MAE on the table over twenty-one years of Polish sovereign data. A weight matrix derived from BondSpot turnover and outstanding amounts cuts that almost in half. Information-matrix derivation included.
Underlying paper · Parsimonious yield curve modeling in less-liquid markets (LW-NSS, FAME|GRAPE WP, 2021)
The pure expectations hypothesis dies in three different ways in PL, US and EA
Polish curves drift mildly anti-PEH. The US sits roughly consistent with PEH at long horizons. The euro-area AAA panel rejects strongly under asymptotic Newey-West but barely under the wild block bootstrap — the cleanest evidence for the Bauer-Hamilton (2018) concern in our sample.
Underlying paper · Closer to New York than to Frankfurt? (SSRN 6695444)
Are NBP forecasters informative? At 1y yes, at 3y and 5y no
Diebold-Mariano, Clark-West and forecast-encompassing tests on the NBP Survey of Professional Forecasters versus the ACM/BRW expected-rate path. The survey wins at 1y, the model wins at 3y and 5y, and encompassing rejects the survey at long horizons.
Underlying paper · Are Survey-Based Rate Expectations Informative? (SSRN 6644222)
Six microstructure measures, one composite, and the venue-cap puzzle
Bid-ask spread, zero-trading-day frequency, Amihud, Roll, Pastor-Stambaugh γ, Corwin-Schultz, and a composite z-index across the BondSpot panel from 2005 to today. Aggregate term premia absorb supply pressure that the venue-capped bid-ask spread cannot.
Underlying paper · Polish sovereign bond liquidity: replication + supply channel (liquidity_paper_v5, 2026)
Each short is one self-contained letter-format page. The underlying working papers are linked from the about page with full DOIs and abstracts.