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=[0]), ΔEMBI lags t.
• 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 — Panama

• Debt gap is public debt/GDP minus a 50% ‘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.