Chile EMBI directed graphs

Monthly — is the current spread priced?

rich

Chile EMBI looks rich at 95 bp vs fair 100 bp (-5 bp tight).

The EMBI tightened 6 bp over the last 6 months (102 → 96 bp). Last month it widened another 9 bp. Last month’s move was led by US high-yield spreads (+11 bp, wider); USD broad (+6 bp, wider). It looks rich because the market print (95 bp) is tighter than macro fair value (100 bp, gap -5 bp).

US high-yield spreads widened, which put downward pressure on the REER gap vs trend, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
The local exchange rate increased, which put downward pressure on the real exchange rate (REER), which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
USD broad increased, which put downward pressure on the real exchange rate (REER), which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	95 bp (2026-10-15)
Macro fair value	100 bp (month-end 2026-09-30)
Rich / cheap	rich
Gap (current − fair)	-5 bp (-0.594σ)
Month-end residual	-4 bp
Residual σ	8 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)
us_hy_oas (t)	0.490	+11.1	0
dxy (t)	2.401	+5.9	0
tot_gap (t)	0.000	-0.4	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	0.815
dxy	→	fx	t	+0.931	-10.086
nominal_deficit	→	primary_balance	t	+0.912	0.836
fx	→	reer	t	-0.868	-131.015
dxy	→	reer	t	-0.785	-131.015
policy_rate	→	policy_fed_gap	t	+0.764	-0.437
cpi	→	policy_rate	t	+0.717	0.679
reer	→	reer_gap	t	+0.708	-2042.262
copper	→	tot	t	+0.682	-1697.343
fed_funds	→	policy_rate	t	+0.635	0.679
cpi	→	policy_fed_gap	t	+0.612	-0.437
ust_short	→	policy_rate	t	+0.599	0.679
tot	→	exports_growth	t	+0.588	-22.433
us_hy_oas	→	embi_bra	t	+0.580	-5.013
us_hy_oas	→	fx	t	-0.578	-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
debt_gap	→	policy_rate	t	+0.505	0.679
public_debt_gdp	→	policy_rate	t	+0.505	0.679
current_account	→	fx	t	-0.477	-10.086
vix	→	embi_bra	t	+0.473	-5.013
nominal_deficit	→	policy_rate	t	+0.467	0.679
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	+0.401	-131.015
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	-131.015
primary_balance	→	policy_rate	t	+0.368	0.679
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	0.679
fed_funds_chg	→	policy_rate	t	+0.340	0.679
reer	→	embi_bra	t	-0.337	-5.013
fed_funds_chg	→	policy_fed_gap	t	+0.337	-0.437
sp500	→	policy_rate	t	+0.337	0.679
oil	→	fx	t	-0.314	-10.086
tot_gap	→	fx	t	+0.307	-10.086
current_account	→	reserves_growth	t	+0.286	0.056
reer_gap	→	policy_rate	t	+0.285	0.679
us_hy_oas	→	policy_fed_gap	t	+0.273	-0.437
dxy	→	policy_fed_gap	t	-0.256	-0.437
tot_gap	→	reer	t	-0.255	-131.015
fx	→	reer_gap	t	-0.246	-2042.262
debt_gap	→	embi_bra	t	-0.245	-5.013
public_debt_gdp	→	embi_bra	t	-0.245	-5.013
tot	→	reer	t	-0.243	-131.015
tot_gap	→	embi_bra	t	-0.240	-5.013
exports_growth	→	current_account	t	+0.239	0.076
reserves_growth	→	embi_bra	t	-0.231	-5.013
copper	→	tot_gap	t	+0.219	-62.590
dxy	→	policy_rate	t	+0.214	0.679
us_hy_oas	→	reer_gap	t	-0.211	-2042.262
oil	→	primary_balance	t	+0.204	0.836
policy_fed_gap	→	embi_bra	t	+0.202	-5.013
reer	→	policy_fed_gap	t	+0.196	-0.437

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 / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.471	0.640
dxy	→	embi_bra	t	+0.210	0.640
dxy	→	embi_bra	t−2	-0.121	0.640
us_hy_oas	→	embi_bra	t−2	+0.115	0.640
oil	→	embi_bra	t	-0.091	0.640
reer_gap	→	embi_bra	t−2	+0.085	0.640
reer_gap	→	embi_bra	t	-0.079	0.640
fx	→	embi_bra	t	+0.071	0.640
us_hy_oas	→	embi_bra	t−1	+0.062	0.640
oil	→	embi_bra	t−2	-0.056	0.640
fx	→	embi_bra	t−2	+0.052	0.640
dxy	→	embi_bra	t−1	+0.034	0.640
fx	→	embi_bra	t−1	+0.011	0.640
oil	→	embi_bra	t−1	+0.004	0.640
reer_gap	→	embi_bra	t−1	-0.001	0.640

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]	0.043	40.0%	-0.150	55.0%	100.0%	45.0%	75.0%	0.075	20	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	0.043	40.0%	-0.150	55.0%	100.0%	45.0%	75.0%	0.075	37	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	0.043	40.0%	-0.150	55.0%	100.0%	45.0%	75.0%	0.075	34	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	0.043	40.0%	-0.150	55.0%	100.0%	45.0%	75.0%	0.075	12	15
hybrid\|lags=[0, 1, 2]	[0, 1, 2]	0.043	40.0%	-0.150	55.0%	100.0%	45.0%	75.0%	0.075	42	15
theory\|lags=[1]	[1]	-0.091	60.0%	0.050	55.0%	95.0%	60.0%	55.0%	0.080	20	5
pc\|lags=[1]	[1]	-0.091	60.0%	0.050	55.0%	95.0%	60.0%	55.0%	0.080	37	5
pc_strict\|lags=[1]	[1]	-0.091	60.0%	0.050	55.0%	95.0%	60.0%	55.0%	0.080	34	5
tan\|lags=[1]	[1]	-0.091	60.0%	0.050	55.0%	95.0%	60.0%	55.0%	0.080	12	5
hybrid\|lags=[1]	[1]	-0.091	60.0%	0.050	55.0%	95.0%	60.0%	55.0%	0.080	42	5
theory\|lags=[0, 1]	[0, 1]	-0.247	40.0%	-0.150	55.0%	100.0%	50.0%	75.0%	0.085	20	10
pc\|lags=[0, 1]	[0, 1]	-0.247	40.0%	-0.150	55.0%	100.0%	50.0%	75.0%	0.085	37	10
pc_strict\|lags=[0, 1]	[0, 1]	-0.247	40.0%	-0.150	55.0%	100.0%	50.0%	75.0%	0.085	34	10
tan\|lags=[0, 1]	[0, 1]	-0.247	40.0%	-0.150	55.0%	100.0%	50.0%	75.0%	0.085	12	10