Argentina EMBI directed graphs

Monthly — is the current spread priced?

very cheap

Argentina EMBI looks very cheap at 624 bp vs fair 304 bp (+319 bp / 1.8σ wide).

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.

Current EMBI	624 bp (2026-10-15)
Macro fair value	304 bp (month-end 2026-09-30)
Rich / cheap	very_cheap
Gap (current − fair)	+319 bp (1.798σ)
Month-end residual	+302 bp
Residual σ	178 bp
In-sample R²	0.854

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)	2.401	-137.2	0
us_hy_oas (t)	0.490	+38.2	0
tot_gap (t)	0.000	-26.5	45
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	2026-09-30	yes	15
tot	2026-11-14	pending	-30
tot_gap	2026-11-14	pending	-30
dxy	2026-09-30	yes	15
debt_gap	2026-11-04	pending	-20
current_account	2026-10-25	pending	-10

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	-2.773
us_hy_oas	→	fx	t	-0.548	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	+0.518	-3.045
us_hy_oas	→	equity	t	-0.515	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	-0.462	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	-2.773
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 / 20 test through 2026-10-31.

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]	-0.741	25.0%	-0.450	70.0%	85.0%	30.0%	45.0%	2.167	22	5
pc\|lags=[1]	[1]	-0.741	25.0%	-0.450	70.0%	85.0%	30.0%	45.0%	2.167	34	5
pc_strict\|lags=[1]	[1]	-0.741	25.0%	-0.450	70.0%	85.0%	30.0%	45.0%	2.167	31	5
tan\|lags=[1]	[1]	-0.741	25.0%	-0.450	70.0%	85.0%	30.0%	45.0%	2.167	12	5
hybrid\|lags=[1]	[1]	-0.741	25.0%	-0.450	70.0%	85.0%	30.0%	45.0%	2.167	39	5
theory\|lags=[1, 3]	[1, 3]	-0.858	35.0%	-0.350	70.0%	85.0%	35.0%	40.0%	2.240	22	10
pc\|lags=[1, 3]	[1, 3]	-0.858	35.0%	-0.350	70.0%	85.0%	35.0%	40.0%	2.240	34	10
pc_strict\|lags=[1, 3]	[1, 3]	-0.858	35.0%	-0.350	70.0%	85.0%	35.0%	40.0%	2.240	31	10
tan\|lags=[1, 3]	[1, 3]	-0.858	35.0%	-0.350	70.0%	85.0%	35.0%	40.0%	2.240	12	10
hybrid\|lags=[1, 3]	[1, 3]	-0.858	35.0%	-0.350	70.0%	85.0%	35.0%	40.0%	2.240	39	10
theory\|lags=[0]	[0]	-2.813	30.0%	-0.400	70.0%	80.0%	45.0%	65.0%	3.208	22	5
pc\|lags=[0]	[0]	-2.813	30.0%	-0.400	70.0%	80.0%	45.0%	65.0%	3.208	34	5
pc_strict\|lags=[0]	[0]	-2.813	30.0%	-0.400	70.0%	80.0%	45.0%	65.0%	3.208	31	5
tan\|lags=[0]	[0]	-2.813	30.0%	-0.400	70.0%	80.0%	45.0%	65.0%	3.208	12	5