Colombia EMBI directed graphs

Monthly — is the current spread priced?

rich

Colombia EMBI looks rich at 200 bp vs fair 226 bp (-26 bp tight).

The REER gap vs trend widened, which put upward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
The S&P 500 rose, which put upward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
US high-yield spreads tightened, which put upward pressure on the local exchange rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	200 bp (2026-09-02)
Macro fair value	226 bp (month-end 2026-08-31)
Rich / cheap	rich
Gap (current − fair)	-26 bp (-1.016σ)
Month-end residual	-37 bp
Residual σ	25 bp
In-sample R²	0.838

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	-10.7	0
dxy (t)	-0.956	-2.6	0
tot_gap (t)	0.000	+0.1	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	2026-08-31	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

Show all edges

Narrative edges (strongest first)

From		To	Lag	β (z)	Child R²
public_debt_gdp	→	debt_gap	t	+1.000	0.242
nominal_deficit	→	primary_balance	t	+0.961	0.828
dxy	→	fx	t	+0.942	-1.222
oil	→	tot	t	+0.942	-1495.523
fx	→	reer	t	-0.931	-20.065
reserves	→	fx	t	+0.893	-1.222
dxy	→	reer	t	-0.888	-20.065
policy_rate	→	policy_fed_gap	t	+0.882	-5.441
fed_funds	→	policy_rate	t	+0.865	0.817
nominal_deficit	→	public_debt_gdp	t	-0.846	-12.770
cpi	→	policy_rate	t	+0.834	0.817
fx	→	embi_bra	t	+0.825	-3.084
cpi	→	policy_fed_gap	t	+0.802	-5.441
copper	→	tot_gap	t	+0.776	-51.057
reer	→	embi_bra	t	-0.769	-3.084
dxy	→	embi_bra	t	+0.734	-3.084
primary_balance	→	debt_gap	t	-0.713	0.242
primary_balance	→	public_debt_gdp	t	-0.713	-12.770
ust_short	→	policy_rate	t	+0.686	0.817
copper	→	tot	t	+0.682	-1495.523
cpi	→	fx	t	+0.664	-1.222
oil	→	tot_gap	t	+0.617	-51.057
debt_gap	→	embi_bra	t	+0.596	-3.084
public_debt_gdp	→	embi_bra	t	+0.596	-3.084
tot	→	exports_growth	t	+0.588	-2.530
us_hy_oas	→	fx	t	-0.570	-1.222
policy_rate	→	embi_bra	t	+0.562	-3.084
copper	→	exports_growth	t	+0.561	-2.530
tot	→	reer_gap	t	+0.548	-631.508
fx	→	policy_rate	t	+0.546	0.817
sp500	→	policy_rate	t	+0.540	0.817
dxy	→	policy_rate	t	+0.534	0.817
tot	→	reer	t	+0.532	-20.065
fed_funds	→	policy_fed_gap	t	+0.526	-5.441
oil	→	reer	t	+0.517	-20.065
tot_gap	→	current_account	t	+0.514	-0.704
reer	→	reer_gap	t	+0.509	-631.508
oil	→	exports_growth	t	+0.507	-2.530
policy_fed_gap	→	embi_bra	t	+0.485	-3.084
ust_short	→	policy_fed_gap	t	+0.473	-5.441
reserves_growth	→	embi_bra	t	-0.470	-3.084
us_hy_oas	→	reer	t	+0.469	-20.065
tot	→	current_account	t	+0.447	-0.704
tot	→	reserves	t	-0.413	-23.798
exports_growth	→	current_account	t	+0.406	-0.704
reserves	→	reserves_growth	t	-0.406	-0.030
tot_gap	→	primary_balance	t	-0.398	0.828
tot_gap	→	fx	t	+0.390	-1.222
oil	→	fx	t	-0.369	-1.222
tot	→	fx	t	-0.367	-1.222
us_hy_oas	→	policy_rate	t	-0.366	0.817
oil	→	reserves	t	-0.343	-23.798
reer	→	policy_rate	t	-0.337	0.817
vix	→	embi_bra	t	+0.323	-3.084
primary_balance	→	policy_rate	t	+0.311	0.817
dxy	→	policy_fed_gap	t	+0.305	-5.441
fx	→	policy_fed_gap	t	+0.304	-5.441
reer_gap	→	policy_rate	t	+0.298	0.817
current_account	→	embi_bra	t	-0.283	-3.084
us_hy_oas	→	reer_gap	t	-0.278	-631.508

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, fx, public_debt_gdp · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
oil	→	embi_bra	t−1	-0.050	0.019
fx	→	embi_bra	t−1	+0.032	0.019
vix	→	embi_bra	t−1	+0.029	0.019
dxy	→	embi_bra	t−1	-0.012	0.019
public_debt_gdp	→	embi_bra	t−1	+0.000	0.019

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]	-0.082	26.3%	-0.053	31.6%	78.9%	26.3%	63.2%	0.268	20	5
pc\|lags=[1]	[1]	-0.082	26.3%	-0.053	31.6%	78.9%	26.3%	63.2%	0.268	44	5
pc_strict\|lags=[1]	[1]	-0.082	26.3%	-0.053	31.6%	78.9%	26.3%	63.2%	0.268	36	5
tan\|lags=[1]	[1]	-0.082	26.3%	-0.053	31.6%	78.9%	26.3%	63.2%	0.268	13	5
hybrid\|lags=[1]	[1]	-0.082	26.3%	-0.053	31.6%	78.9%	26.3%	63.2%	0.268	37	5
theory\|lags=[1, 3]	[1, 3]	-0.084	26.3%	-0.053	31.6%	78.9%	26.3%	68.4%	0.269	20	10
pc\|lags=[1, 3]	[1, 3]	-0.084	26.3%	-0.053	31.6%	78.9%	26.3%	68.4%	0.269	44	10
pc_strict\|lags=[1, 3]	[1, 3]	-0.084	26.3%	-0.053	31.6%	78.9%	26.3%	68.4%	0.269	36	10
tan\|lags=[1, 3]	[1, 3]	-0.084	26.3%	-0.053	31.6%	78.9%	26.3%	68.4%	0.269	13	10
hybrid\|lags=[1, 3]	[1, 3]	-0.084	26.3%	-0.053	31.6%	78.9%	26.3%	68.4%	0.269	37	10
theory\|lags=[0, 1]	[0, 1]	-0.096	10.5%	-0.211	31.6%	84.2%	15.8%	47.4%	0.270	20	10
pc\|lags=[0, 1]	[0, 1]	-0.096	10.5%	-0.211	31.6%	84.2%	15.8%	47.4%	0.270	44	10
pc_strict\|lags=[0, 1]	[0, 1]	-0.096	10.5%	-0.211	31.6%	84.2%	15.8%	47.4%	0.270	36	10
tan\|lags=[0, 1]	[0, 1]	-0.096	10.5%	-0.211	31.6%	84.2%	15.8%	47.4%	0.270	13	10