ARG · Distressed
Argentina
Last EMBI
624 bp
2026-10-15
Valuation graph
Very cheap
Argentina EMBI looks very cheap at 624 bp vs fair 304 bp (+319 bp / 1.8σ wide).
News themes
Upcoming releases
| Date | Name | Release | |
|---|---|---|---|
| 2026-11-10 | CPI | Argentina | IPC |
| 2026-12-10 | CB | Argentina | BCRA |
| 2026-12-10 | CPI | Argentina | IPC |
Valuation graph
very cheap
The EMBI tightened 10 bp over the last 6 months (616 → 606 bp). Last month it widened another 92 bp. Last month’s move was led by USD broad (-137 bp, tighter); US high-yield spreads (+38 bp, wider); the terms-of-trade gap (-27 bp, tighter).
It looks very cheap because the market print (624 bp) is wider than macro fair value (304 bp, gap +319 bp).
- US high-yield spreads widened, which put downward pressure on the local policy rate, which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.
- Local equities fell, which put downward pressure on the local policy rate, which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.
- Oil increased, which put upward pressure on the real exchange rate (REER), which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.
Algorithm
Expert causal graph (no search). Edges are the whitelist of allowed contemporaneous channels; the picture is that graph after lag scoring.
- This name: theory (theory|lags=[1]), ΔEMBI lags t−1.
- Train 182 months · holdout 20 · sample from 2010-01-01.
- Fair value is a separate 48-month level OLS nowcast on the displayed parents (not the TAN classifier).
Rules — all DAGs
- Causal tiers (top → bottom): 0 Global macro; 1 ToT / activity; 2 Fiscal; 3 Monetary; 4 Trade / FX; 5 Local markets; 6 Local news; 7 EMBI / equity.
- Locals cannot point at globals. Same-tier arrows only if listed in the expert contemporaneous set.
- Dropped as parents: leaky composites (global_embi, latam_embi); local GDELT mass (debt_theme, election_shock, election_theme, local_sentiment, whitelist_sentiment).
- At most five parents per node after search. EMBI is the sink.
- Display always keeps last hops into equity, policy_fed_gap so the picture matches the valuation prose.
- Global 2020Q1–Q2 crisis months are down-weighted in the loss.
Rules — Argentina
- Estimation sample starts 2024-01-01 (post-blow-up), not the default 2010-01-01.
- Level-break dummy on the ΔEMBI equation from 2024-01-01.
- Crisis months extra-downweighted: 2018-04-01–2018-12-31, 2019-08-01–2019-12-31, 2023-01-01–2023-12-31.
- Debt gap is public debt/GDP minus a 60% ‘healthy’ level.
Node transformations
- Monthly last-observation of daily markets; official-month macros as published.
- Structure/strengths on z-scored levels; ΔEMBI equation uses the selected lag set.
- Gaps: ToT and REER vs trend; debt vs the healthy debt/GDP above; policy rate minus Fed funds.
- Winsorized residuals; Huber-style weights; publication-lag notes so unprinted macros are not treated as traded.
- Fair-value nowcast: 48-month window, standardized OLS, mapped back to basis points.
| Current EMBI | 624 bp |
|---|---|
| Macro fair value | 304 bp |
| Gap (current − fair) | +319 bp (1.8σ) |
4 monthly print(s) may not yet have been tradable at the last EMBI date.