I have estimated the term premium for the Polish Government Bonds (POLGBs) using the methods described by Adrian et al. (2013) (often referred to as ACM). The underlying yields are interpolated from the Nelson-Siegel-Svensson model based on a bootstrapped zero-coupon yield curve.
I have estimated the model for two time series:
1. Daily 10Y POLGBs Yields from 24/01/2005 to 20/05/2022
Although the monthly yields are subsetted from the daily yields, the picture painted by each term-premium estimate is drastically different, especially during the 2020-2021 quantitative easing program from the Polish Central Bank. The monthly term-premium would have similar dynamics to the analogous term-premium estimates for the German BUNDs. Which estimate would you find more reliable?