Bolivia EMBI directed graphs

Monthly — is the current spread priced?

fair

Bolivia EMBI is fairly priced at 498 bp (fair 575 bp).

The EMBI tightened 78 bp over the last 6 months (561 → 483 bp). Last month it widened another 87 bp. Last month’s move was led by USD broad (+67 bp, wider); US high-yield spreads (+28 bp, wider); the terms-of-trade gap (+17 bp, wider). Versus the graph fair-value, the print is in line with the macros.

The local exchange rate increased, which put downward pressure on the real exchange rate (REER), which typically tightens the EMBI spread.
US high-yield spreads widened, which put upward pressure on the REER gap vs trend, which typically tightens the EMBI spread.
USD broad increased, which put upward pressure on the real exchange rate (REER), which typically widens the EMBI spread.

Current EMBI	498 bp (2026-10-15)
Macro fair value	575 bp (month-end 2026-09-30)
Rich / cheap	fair
Gap (current − fair)	-77 bp (-0.315σ)
Month-end residual	-92 bp
Residual σ	243 bp
In-sample R²	0.900

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	+66.6	0
us_hy_oas (t)	0.490	+28.5	0
tot_gap (t)	0.000	+17.1	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	0.955
nominal_deficit	→	primary_balance	t	+0.962	0.903
dxy	→	reer	t	+0.928	-262.731
debt_gap	→	embi_bra	t	+0.727	0.258
public_debt_gdp	→	embi_bra	t	+0.727	0.258
oil	→	tot_gap	t	+0.678	-0.262
nominal_deficit	→	public_debt_gdp	t	-0.676	0.553
oil	→	tot	t	+0.674	-75.745
us_hy_oas	→	reer_gap	t	+0.668	-0.002
copper	→	tot	t	+0.640	-75.745
copper	→	tot_gap	t	+0.635	-0.262
copper	→	embi_bra	t	+0.604	0.258
dxy	→	fx	t	-0.590	-39379.077
tot	→	reer_gap	t	-0.583	-0.002
reer_gap	→	embi_bra	t	-0.545	0.258
dxy	→	embi_bra	t	+0.538	0.258
tot_gap	→	current_account	t	+0.515	0.142
fx	→	reer	t	-0.493	-262.731
tot	→	current_account	t	+0.470	0.142
us_hy_oas	→	embi_bra	t	-0.461	0.258
oil	→	reer	t	-0.448	-262.731
reer	→	embi_bra	t	+0.435	0.258
dxy	→	reer_gap	t	-0.432	-0.002
primary_balance	→	debt_gap	t	-0.409	0.955
primary_balance	→	public_debt_gdp	t	-0.409	0.553
copper	→	exports_growth	t	+0.389	-2.754
reserves	→	fx	t	+0.368	-39379.077
tot	→	exports_growth	t	+0.343	-2.754
us_hy_oas	→	reer	t	-0.305	-262.731
tot_gap	→	primary_balance	t	-0.298	0.903
vix	→	fx	t	-0.268	-39379.077
reserves	→	reserves_growth	t	+0.249	-0.064
reer	→	reer_gap	t	-0.238	-0.002
oil	→	exports_growth	t	+0.228	-2.754
tot	→	reserves	t	-0.218	-0.500
fx	→	embi_bra	t	-0.214	0.258
tot_gap	→	fx	t	-0.211	-39379.077
cpi	→	fx	t	+0.195	-39379.077
current_account	→	reserves	t	+0.192	-0.500
oil	→	embi_bra	t	+0.183	0.258
oil	→	fx	t	+0.154	-39379.077
tot	→	fx	t	-0.137	-39379.077
tot_gap	→	reer	t	+0.134	-262.731
tot	→	reer	t	-0.115	-262.731
tot	→	embi_bra	t	+0.113	0.258
exports_growth	→	current_account	t	+0.103	0.142
copper	→	fx	t	-0.102	-39379.077
oil	→	reserves	t	-0.059	-0.500
tot	→	primary_balance	t	-0.057	0.903
fx	→	reer_gap	t	+0.047	-0.002
current_account	→	embi_bra	t	-0.035	0.258
vix	→	embi_bra	t	+0.027	0.258
oil	→	primary_balance	t	-0.024	0.903
current_account	→	reserves_growth	t	+0.018	-0.064
us_hy_oas	→	fx	t	+0.017	-39379.077
reserves_growth	→	embi_bra	t	-0.009	0.258
primary_balance	→	embi_bra	t	+0.007	0.258
current_account	→	fx	t	+0.007	-39379.077
tot_gap	→	embi_bra	t	+0.002	0.258

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=[0] · parents: us_hy_oas, ust_short, oil, reserves_growth, debt_gap · 148 train / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.163	0.056
reserves_growth	→	embi_bra	t	+0.099	0.056
debt_gap	→	embi_bra	t	+0.070	0.056
oil	→	embi_bra	t	-0.057	0.056
ust_short	→	embi_bra	t	-0.051	0.056

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory\|lags=[0] ← best	[0]	-0.359	50.0%	0.050	45.0%	85.0%	50.0%	40.0%	2.040	18	5
pc\|lags=[0]	[0]	-0.359	50.0%	0.050	45.0%	85.0%	50.0%	40.0%	2.040	26	5
pc_strict\|lags=[0]	[0]	-0.359	50.0%	0.050	45.0%	85.0%	50.0%	40.0%	2.040	24	5
tan\|lags=[0]	[0]	-0.359	50.0%	0.050	45.0%	85.0%	50.0%	40.0%	2.040	10	5
hybrid\|lags=[0]	[0]	-0.359	50.0%	0.050	45.0%	85.0%	50.0%	40.0%	2.040	23	5
theory\|lags=[0, 1]	[0, 1]	-0.387	50.0%	0.050	45.0%	90.0%	50.0%	30.0%	2.061	18	10
pc\|lags=[0, 1]	[0, 1]	-0.387	50.0%	0.050	45.0%	90.0%	50.0%	30.0%	2.061	26	10
pc_strict\|lags=[0, 1]	[0, 1]	-0.387	50.0%	0.050	45.0%	90.0%	50.0%	30.0%	2.061	24	10
tan\|lags=[0, 1]	[0, 1]	-0.387	50.0%	0.050	45.0%	90.0%	50.0%	30.0%	2.061	10	10
hybrid\|lags=[0, 1]	[0, 1]	-0.387	50.0%	0.050	45.0%	90.0%	50.0%	30.0%	2.061	23	10
theory\|lags=[1]	[1]	-0.417	45.0%	0.000	45.0%	85.0%	45.0%	40.0%	2.083	18	5
pc\|lags=[1]	[1]	-0.417	45.0%	0.000	45.0%	85.0%	45.0%	40.0%	2.083	26	5
pc_strict\|lags=[1]	[1]	-0.417	45.0%	0.000	45.0%	85.0%	45.0%	40.0%	2.083	24	5
tan\|lags=[1]	[1]	-0.417	45.0%	0.000	45.0%	85.0%	45.0%	40.0%	2.083	10	5