Chile EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	90 bp (2026-09-02)
Macro fair value	90 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	+1 bp (0.053σ)
Month-end residual	-3 bp
Residual σ	10 bp
In-sample R²	0.873

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)
us_hy_oas (t)	-0.220	-4.5	0
dxy (t)	-0.956	-3.0	0
tot_gap (t)	0.000	+0.7	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	2026-08-31	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	0.815
dxy	→	fx	t	+0.931	-10.086
nominal_deficit	→	primary_balance	t	+0.912	0.836
fx	→	reer	t	-0.868	-130.976
dxy	→	reer	t	-0.785	-130.976
policy_rate	→	policy_fed_gap	t	+0.764	-0.395
cpi	→	policy_rate	t	+0.717	0.523
reer	→	reer_gap	t	+0.708	-2056.352
copper	→	tot	t	+0.682	-1697.343
fed_funds	→	policy_rate	t	+0.635	0.523
sp500	→	equity	t	+0.621	-35.067
tot	→	equity	t	+0.621	-35.067
tot_gap	→	equity	t	+0.615	-35.067
cpi	→	policy_fed_gap	t	+0.612	-0.395
us_hy_oas	→	equity	t	-0.600	-35.067
ust_short	→	policy_rate	t	+0.599	0.523
tot	→	exports_growth	t	+0.588	-22.433
us_hy_oas	→	embi_bra	t	+0.580	-5.013
us_hy_oas	→	fx	t	-0.579	-10.086
reserves	→	fx	t	+0.566	-10.086
reer_gap	→	embi_bra	t	-0.548	-5.013
cpi	→	fx	t	+0.538	-10.086
fx	→	equity	t	+0.525	-35.067
fed_funds	→	equity	t	+0.515	-35.067
debt_gap	→	policy_rate	t	+0.505	0.523
public_debt_gdp	→	policy_rate	t	+0.505	0.523
current_account	→	fx	t	-0.477	-10.086
vix	→	embi_bra	t	+0.473	-5.013
nominal_deficit	→	policy_rate	t	+0.467	0.523
tot_gap	→	primary_balance	t	-0.443	0.836
copper	→	embi_bra	t	-0.424	-5.013
oil	→	tot_gap	t	-0.423	-62.590
us_hy_oas	→	reer	t	+0.403	-130.976
tot_gap	→	current_account	t	+0.386	0.076
tot	→	fx	t	+0.379	-10.086
oil	→	embi_bra	t	-0.379	-5.013
oil	→	reer	t	+0.377	-130.976
primary_balance	→	policy_rate	t	+0.368	0.523
copper	→	exports_growth	t	+0.365	-22.433
tot	→	embi_bra	t	-0.345	-5.013
tot	→	primary_balance	t	-0.343	0.836
fx	→	policy_rate	t	+0.341	0.523
fed_funds_chg	→	policy_rate	t	+0.340	0.523
reer	→	embi_bra	t	-0.337	-5.013
fed_funds_chg	→	policy_fed_gap	t	+0.337	-0.395
sp500	→	policy_rate	t	+0.337	0.523
copper	→	equity	t	+0.336	-35.067
oil	→	fx	t	-0.314	-10.086
equity	→	embi_bra	t	-0.313	-5.013
reer_gap	→	equity	t	+0.308	-35.067
tot_gap	→	fx	t	+0.307	-10.086
equity	→	policy_fed_gap	t	-0.303	-0.395
reer	→	equity	t	-0.299	-35.067
current_account	→	equity	t	-0.289	-35.067
current_account	→	reserves_growth	t	+0.286	0.056
reer_gap	→	policy_rate	t	+0.285	0.523
us_hy_oas	→	policy_fed_gap	t	+0.275	-0.395
exports_growth	→	equity	t	+0.258	-35.067
dxy	→	policy_fed_gap	t	-0.256	-0.395
tot_gap	→	reer	t	-0.255	-130.976

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, 1, 2] · parents: us_hy_oas, dxy, oil, fx, reer_gap · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.467	0.636
dxy	→	embi_bra	t	+0.206	0.636
us_hy_oas	→	embi_bra	t−2	+0.113	0.636
dxy	→	embi_bra	t−2	-0.107	0.636
oil	→	embi_bra	t	-0.104	0.636
reer_gap	→	embi_bra	t	-0.073	0.636
oil	→	embi_bra	t−2	-0.064	0.636
reer_gap	→	embi_bra	t−2	+0.062	0.636
fx	→	embi_bra	t	+0.057	0.636
fx	→	embi_bra	t−2	+0.038	0.636
dxy	→	embi_bra	t−1	+0.027	0.636
fx	→	embi_bra	t−1	+0.020	0.636
us_hy_oas	→	embi_bra	t−1	+0.019	0.636
reer_gap	→	embi_bra	t−1	+0.010	0.636
oil	→	embi_bra	t−1	+0.009	0.636

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory|lags=[0, 1, 2] ← best	[0, 1, 2]	0.138	63.2%	0.053	57.9%	100.0%	63.2%	63.2%	0.070	22	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.138	63.2%	0.053	57.9%	100.0%	63.2%	63.2%	0.070	40	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.138	63.2%	0.053	57.9%	100.0%	63.2%	63.2%	0.070	37	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.138	63.2%	0.053	57.9%	100.0%	63.2%	63.2%	0.070	12	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	0.138	63.2%	0.053	57.9%	100.0%	63.2%	63.2%	0.070	47	15
theory|lags=[1]	[1]	-0.090	63.2%	0.053	57.9%	94.7%	63.2%	47.4%	0.078	22	5
pc|lags=[1]	[1]	-0.090	63.2%	0.053	57.9%	94.7%	63.2%	47.4%	0.078	40	5
pc_strict|lags=[1]	[1]	-0.090	63.2%	0.053	57.9%	94.7%	63.2%	47.4%	0.078	37	5
tan|lags=[1]	[1]	-0.090	63.2%	0.053	57.9%	94.7%	63.2%	47.4%	0.078	12	5
hybrid|lags=[1]	[1]	-0.090	63.2%	0.053	57.9%	94.7%	63.2%	47.4%	0.078	47	5
theory|lags=[0, 1]	[0, 1]	-0.111	52.6%	-0.053	57.9%	100.0%	52.6%	68.4%	0.079	22	10
pc|lags=[0, 1]	[0, 1]	-0.111	52.6%	-0.053	57.9%	100.0%	52.6%	68.4%	0.079	40	10
pc_strict|lags=[0, 1]	[0, 1]	-0.111	52.6%	-0.053	57.9%	100.0%	52.6%	68.4%	0.079	37	10
tan|lags=[0, 1]	[0, 1]	-0.111	52.6%	-0.053	57.9%	100.0%	52.6%	68.4%	0.079	12	10