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, open source code, daily refreshes.
// better vaguely right than precisely wrong
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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.
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.
Expectations hypothesis tests
Fama-Bliss FB1 and FB2 results, Cochrane-Piazzesi single and seagull factors, out-of-sample STV against a random walk, and the cross-market PL/US/EA stub — all from the EH paper replication.
About the project
Author bio, methodology, data sources, related publications, and the research programme behind the dashboards.
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. Code, replication scripts, and underlying CSVs are linked from the about page.
Latest
Daily snapshots updated through April 2026. Curves dashboard refreshed continuously. Term-premia dashboard refreshed weekly. Liquidity and EH-tests dashboards refreshed monthly. Working papers and publications listed on the about page.