Argentina EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	503 bp (2026-09-02)
Macro fair value	389 bp (month-end 2026-08-31)
Rich / cheap	cheap
Gap (current − fair)	+114 bp (0.631σ)
Month-end residual	+125 bp
Residual σ	180 bp
In-sample R²	0.852

4 monthly print(s) may not yet have been tradable at the last EMBI date.

Parent	Δ last month	Contrib bp	Typical print lag (d)
dxy (t)	-0.956	+54.0	0
tot_gap (t)	0.000	-29.0	45
us_hy_oas (t)	-0.220	-17.9	0
tot (t)	0.000	+0.0	45
debt_gap (t)	0.000	+0.0	35
current_account (t)	0.000	+0.0	25

Has EMBI had time to trade the prints?

Input	Est. release	Traded after print?	Days since
us_hy_oas	2026-08-31	yes	2
tot	2026-10-15	pending	-43
tot_gap	2026-10-15	pending	-43
dxy	2026-08-31	yes	2
debt_gap	2026-10-05	pending	-33
current_account	2026-09-25	pending	-23

Monthly DAG

Narrative edges (strongest first)

From		To	Lag	β (z)	Child R²
public_debt_gdp	→	debt_gap	t	+1.000	0.847
policy_rate	→	policy_fed_gap	t	+0.999	0.920
nominal_deficit	→	primary_balance	t	+0.975	0.614
fx	→	equity	t	+0.972	0.496
cpi	→	fx	t	+0.920	0.576
cpi	→	equity	t	+0.829	0.496
fed_funds	→	policy_rate	t	+0.760	-0.036
dxy	→	policy_rate	t	+0.744	-0.036
dxy	→	policy_fed_gap	t	+0.738	0.920
dxy	→	reer	t	-0.732	-3.045
fed_funds	→	policy_fed_gap	t	+0.730	0.920
fed_funds	→	equity	t	+0.721	0.496
sp500	→	equity	t	+0.711	0.496
debt_gap	→	embi_bra	t	+0.706	-4.972
public_debt_gdp	→	embi_bra	t	+0.706	-4.972
reer	→	policy_fed_gap	t	-0.667	0.920
sp500	→	policy_rate	t	+0.665	-0.036
reer	→	policy_rate	t	-0.654	-0.036
sp500	→	policy_fed_gap	t	+0.649	0.920
policy_fed_gap	→	embi_bra	t	+0.616	-4.972
policy_rate	→	embi_bra	t	+0.610	-4.972
reer_gap	→	equity	t	+0.592	0.496
fx	→	reer_gap	t	+0.588	-303.412
us_hy_oas	→	fx	t	-0.552	0.576
current_account	→	reserves	t	-0.544	-0.160
current_account	→	embi_bra	t	+0.537	-4.972
dxy	→	fx	t	+0.531	0.576
us_hy_oas	→	reer	t	+0.520	-3.045
us_hy_oas	→	equity	t	-0.518	0.496
oil	→	reer	t	+0.499	-3.045
tot	→	current_account	t	+0.485	0.230
global_sentiment	→	equity	t	+0.482	0.496
us_hy_oas	→	policy_rate	t	-0.480	-0.036
dxy	→	embi_bra	t	+0.468	-4.972
us_hy_oas	→	policy_fed_gap	t	-0.463	0.920
copper	→	exports_growth	t	+0.457	-1.558
copper	→	fx	t	+0.443	0.576
reer	→	embi_bra	t	-0.438	-4.972
tot_gap	→	current_account	t	+0.437	0.230
reserves	→	fx	t	-0.437	0.576
vix	→	embi_bra	t	+0.422	-4.972
current_account	→	fx	t	+0.419	0.576
reserves	→	equity	t	-0.413	0.496
copper	→	equity	t	+0.407	0.496
tot_gap	→	primary_balance	t	-0.400	0.614
reer	→	reer_gap	t	+0.396	-303.412
tot	→	primary_balance	t	-0.394	0.614
tot_gap	→	embi_bra	t	+0.392	-4.972
fx	→	policy_rate	t	+0.391	-0.036
debt_gap	→	policy_rate	t	+0.380	-0.036
public_debt_gdp	→	policy_rate	t	+0.380	-0.036
debt_gap	→	policy_fed_gap	t	+0.380	0.920
current_account	→	equity	t	+0.368	0.496
oil	→	tot_gap	t	+0.366	-1.577
fx	→	policy_fed_gap	t	+0.358	0.920
oil	→	tot	t	+0.345	-24524.863
ust_short	→	policy_rate	t	+0.345	-0.036
copper	→	tot_gap	t	+0.344	-1.577
copper	→	tot	t	+0.339	-24524.863
ust_short	→	policy_fed_gap	t	+0.312	0.920

ΔEMBI engine (holdout score)

Ridge on ΔEMBI: 1 risk (HY or VIX or S&P) + 1 rates/USD + 1 commodity + 1 local + 1 stock. Ranked by holdout R², not quintile lift. Best: theory|lags=[1] · parents: vix, dxy, oil, equity, public_debt_gdp · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
oil	→	embi_bra	t−1	+0.054	-0.009
public_debt_gdp	→	embi_bra	t−1	-0.019	-0.009
equity	→	embi_bra	t−1	+0.016	-0.009
dxy	→	embi_bra	t−1	-0.012	-0.009
vix	→	embi_bra	t−1	-0.011	-0.009

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory|lags=[1] ← best	[1]	-0.673	26.3%	-0.474	73.7%	89.5%	31.6%	52.6%	2.157	22	5
pc|lags=[1]	[1]	-0.673	26.3%	-0.474	73.7%	89.5%	31.6%	52.6%	2.157	34	5
pc_strict|lags=[1]	[1]	-0.673	26.3%	-0.474	73.7%	89.5%	31.6%	52.6%	2.157	31	5
tan|lags=[1]	[1]	-0.673	26.3%	-0.474	73.7%	89.5%	31.6%	52.6%	2.157	12	5
hybrid|lags=[1]	[1]	-0.673	26.3%	-0.474	73.7%	89.5%	31.6%	52.6%	2.157	39	5
theory|lags=[1, 3]	[1, 3]	-0.806	36.8%	-0.368	73.7%	89.5%	36.8%	47.4%	2.241	22	10
pc|lags=[1, 3]	[1, 3]	-0.806	36.8%	-0.368	73.7%	89.5%	36.8%	47.4%	2.241	34	10
pc_strict|lags=[1, 3]	[1, 3]	-0.806	36.8%	-0.368	73.7%	89.5%	36.8%	47.4%	2.241	31	10
tan|lags=[1, 3]	[1, 3]	-0.806	36.8%	-0.368	73.7%	89.5%	36.8%	47.4%	2.241	12	10
hybrid|lags=[1, 3]	[1, 3]	-0.806	36.8%	-0.368	73.7%	89.5%	36.8%	47.4%	2.241	39	10
theory|lags=[0]	[0]	-2.876	26.3%	-0.474	73.7%	78.9%	42.1%	68.4%	3.282	22	5
pc|lags=[0]	[0]	-2.876	26.3%	-0.474	73.7%	78.9%	42.1%	68.4%	3.282	34	5
pc_strict|lags=[0]	[0]	-2.876	26.3%	-0.474	73.7%	78.9%	42.1%	68.4%	3.282	31	5
tan|lags=[0]	[0]	-2.876	26.3%	-0.474	73.7%	78.9%	42.1%	68.4%	3.282	12	5