Bolivia EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	454 bp (2026-09-02)
Macro fair value	486 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	-32 bp (-0.127σ)
Month-end residual	-89 bp
Residual σ	248 bp
In-sample R²	0.892

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	-25.3	0
tot_gap (t)	0.000	+17.2	45
us_hy_oas (t)	-0.220	-11.3	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	0.955
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	+0.672	-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	-0.467	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 / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.157	0.064
reserves_growth	→	embi_bra	t	+0.099	0.064
debt_gap	→	embi_bra	t	+0.069	0.064
oil	→	embi_bra	t	-0.058	0.064
ust_short	→	embi_bra	t	-0.051	0.064

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]	-0.398	47.4%	0.053	42.1%	89.5%	47.4%	31.6%	2.092	18	5
pc|lags=[0]	[0]	-0.398	47.4%	0.053	42.1%	89.5%	47.4%	31.6%	2.092	26	5
pc_strict|lags=[0]	[0]	-0.398	47.4%	0.053	42.1%	89.5%	47.4%	31.6%	2.092	24	5
tan|lags=[0]	[0]	-0.398	47.4%	0.053	42.1%	89.5%	47.4%	31.6%	2.092	10	5
hybrid|lags=[0]	[0]	-0.398	47.4%	0.053	42.1%	89.5%	47.4%	31.6%	2.092	23	5
theory|lags=[0, 1]	[0, 1]	-0.424	47.4%	0.053	42.1%	89.5%	47.4%	26.3%	2.111	18	10
pc|lags=[0, 1]	[0, 1]	-0.424	47.4%	0.053	42.1%	89.5%	47.4%	26.3%	2.111	26	10
pc_strict|lags=[0, 1]	[0, 1]	-0.424	47.4%	0.053	42.1%	89.5%	47.4%	26.3%	2.111	24	10
tan|lags=[0, 1]	[0, 1]	-0.424	47.4%	0.053	42.1%	89.5%	47.4%	26.3%	2.111	10	10
hybrid|lags=[0, 1]	[0, 1]	-0.424	47.4%	0.053	42.1%	89.5%	47.4%	26.3%	2.111	23	10
theory|lags=[1]	[1]	-0.453	42.1%	0.000	42.1%	84.2%	42.1%	36.8%	2.132	18	5
pc|lags=[1]	[1]	-0.453	42.1%	0.000	42.1%	84.2%	42.1%	36.8%	2.132	26	5
pc_strict|lags=[1]	[1]	-0.453	42.1%	0.000	42.1%	84.2%	42.1%	36.8%	2.132	24	5
tan|lags=[1]	[1]	-0.453	42.1%	0.000	42.1%	84.2%	42.1%	36.8%	2.132	10	5