Polish sovereign term-premium decomposition
Adrian-Crump-Moench (ACM) affine term-structure model and the Bauer-Rudebusch-Wu small-sample bias correction (BRW), estimated weekly on the LW-NSS zero-coupon panel. Cross-country comparison runs the same ACM specification on the GSW US Treasury panel and the ECB euro-area AAA panel.
Read the short — "Are survey-based rate expectations informative?"How to read this page (methodology and glossary)
The term premium at horizon n is the wedge between the nominal n-period yield and the model-implied path of expected short rates. We estimate it on the LW-NSS Polish sovereign zero-coupon panel using Adrian, Crump and Moench (2013), a five-factor affine term-structure model fitted by OLS regression of monthly excess returns on the lagged NSS principal components, with no cross-sectional restrictions imposed. The Bauer-Rudebusch-Wu (2012, 2014) iterated-bootstrap bias correction is applied to the VAR persistence so the implied expectations component is not artificially mean-reverting in small samples. Cross-country panels run the same ACM specification on GSW US Treasuries and ECB euro-area AAA yields.
Glossary
| TP(n) | Term premium at the n-year horizon, in basis points. Sample-mean ex-ante TP at 10y is +105 bp on the Polish curve. |
| ACM | Adrian-Crump-Moench five-factor model. Pricing factors are the first five NSS principal components. |
| BRW | ACM with the Bauer-Rudebusch-Wu bias correction; iterated bootstrap with common random numbers and Kilian shrinkage on the risky-recursion VAR. |
| rf path | Expected average short-rate path Et[(1/n)∑rt+i] implied by the affine model. |
| % rank | Where the latest observation sits in the windowed distribution: 0% = historical minimum, 50% = median, 100% = historical maximum. |
| HAC | Heteroskedasticity- and autocorrelation-consistent (Newey-West) standard errors used for any t-statistics on this page. |
| PCA | Principal-components decomposition of the NSS curve cross-section; the first three loadings recover level, slope and curvature. |
What each panel shows
Statistics by horizon. Cross-sectional summary stats of the PL term premia at 1y, 2y, 3y, 5y, 7y and 10y over the selected window, under the toggled model. Click any row to load that horizon into the time-series chart immediately below.
Term premia by horizon. Time series of PL ACM and PL BRW at the selected horizon, weekly Friday closes from the LW-NSS curve.
Cross-country comparison. PL (BRW) versus US (ACM) versus euro-area AAA (ACM) at the selected horizon, all fitted on the same five-factor specification. US and EA panels are monthly (last observation of month); PL is weekly. Tiles above use the freshest observation on each panel.
Correlation heatmaps. Pearson correlations of PL BRW term premia with US ACM and EA ACM at all horizon pairs; off-diagonal cells tell you how Polish term premia at one tenor co-move with foreign term premia at another tenor.
PL term-premium statistics by horizon — BRW
Cross-sectional summary statistics of the PL term premia at standard horizons (1y, 2y, 3y, 5y, 7y, 10y) over the selected window, with the model picked from the toggle above. The "% rank" column shows where the latest observation sits in the windowed distribution: 0% = at the historical minimum, 100% = at the historical maximum, 50% = at the median. Click any row to load that horizon into the time-series chart below.
PL term premia by horizon — ACM versus BRW
Time-series of PL ACM and BRW term premia at the horizon selected above. Both lines are weekly-Friday closes from the LW-NSS curve. The window pills at the top of the page restrict the visible range.
Cross-country term-premia comparison
Polish (BRW) vs US (ACM) vs euro-area AAA (ACM) term premia at the selected horizon. US and EA term premia are estimated on the GSW Treasury and ECB AAA panels respectively, using the same Adrian-Crump-Moench five-factor specification. Monthly resampling (last observation of month).
Correlation heatmap — PL BRW × US ACM
Pearson correlations between PL BRW term premia and US ACM term premia at all horizon pairs. Off-diagonal cells tell you how Polish term premia at one tenor co-move with US term premia at another tenor.
Correlation heatmap — PL BRW × EA ACM
Same construction with euro-area AAA term premia. Higher PL-EA correlations than PL-US would be the prior, given closer business cycle and monetary policy linkages.
Methodology: ACM five-factor affine term-structure model, OLS regression of monthly excess returns on lagged Nelson-Siegel principal components, no cross-sectional restrictions imposed. BRW correction follows Bauer, Rudebusch and Wu (2012, 2014), iterated bootstrap with common-random-numbers and Kilian shrinkage on the risky-recursion VAR. US and EA panels are interpolated to a 120-month TTM grid via cubic spline before fitting the same specification. See about page for full references.
Source-by-source observation timestamps for every input feeding this page are listed in the Data lineage & freshness block on the home page.