Costa Rica EMBI directed graphs

Monthly — is the current spread priced?

rich

Costa Rica EMBI looks rich at 142 bp vs fair 153 bp (-10 bp tight).

The EMBI tightened 27 bp over the last 6 months (165 → 137 bp). Last month it widened another 10 bp. Last month’s move was led by US high-yield spreads (+15 bp, wider); USD broad (+5 bp, wider). It looks rich because the market print (142 bp) is tighter than macro fair value (153 bp, gap -10 bp).

US high-yield spreads widened, which put downward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
USD broad increased, 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.
The local policy–Fed funds gap tightened, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	142 bp (2026-10-15)
Macro fair value	153 bp (month-end 2026-09-30)
Rich / cheap	rich
Gap (current − fair)	-10 bp (-0.562σ)
Month-end residual	-16 bp
Residual σ	19 bp
In-sample R²	0.929

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	+15.4	0
dxy (t)	2.401	+5.3	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	-7.197
reer	→	reer_gap	t	+0.941	-0.001
nominal_deficit	→	primary_balance	t	+0.883	-11.074
oil	→	tot	t	-0.863	-4628.398
fx	→	reer_gap	t	-0.854	-0.001
fx	→	reer	t	-0.811	-155.423
copper	→	tot_gap	t	-0.783	-14.824
cpi	→	policy_fed_gap	t	+0.755	0.817
oil	→	tot_gap	t	-0.726	-14.824
industrial_prod	→	exports_growth	t	+0.716	-35.213
ust_short	→	policy_rate	t	+0.683	-0.155
sp500	→	policy_fed_gap	t	-0.649	0.817
dxy	→	policy_fed_gap	t	-0.629	0.817
fed_funds	→	policy_rate	t	+0.607	-0.155
primary_balance	→	embi_bra	t	-0.603	0.311
nominal_deficit	→	policy_rate	t	+0.590	-0.155
vix	→	embi_bra	t	+0.587	0.311
oil	→	embi_bra	t	-0.582	0.311
policy_rate	→	embi_bra	t	-0.577	0.311
policy_rate	→	policy_fed_gap	t	+0.549	0.817
current_account	→	reserves	t	+0.542	-7.077
fx	→	embi_bra	t	+0.520	0.311
reer_gap	→	embi_bra	t	-0.518	0.311
copper	→	exports_growth	t	+0.513	-35.213
primary_balance	→	policy_rate	t	+0.510	-0.155
primary_balance	→	public_debt_gdp	t	+0.510	-0.605
primary_balance	→	debt_gap	t	+0.510	-7.197
tot_gap	→	fx	t	-0.509	-109.246
oil	→	primary_balance	t	+0.504	-11.074
us_hy_oas	→	embi_bra	t	+0.496	0.311
tot	→	embi_bra	t	+0.480	0.311
tot_gap	→	reer	t	+0.479	-155.423
tot_gap	→	primary_balance	t	-0.448	-11.074
cpi	→	policy_rate	t	+0.446	-0.155
tot_gap	→	current_account	t	-0.445	-1.852
vix	→	fx	t	+0.426	-109.246
copper	→	embi_bra	t	-0.423	0.311
dxy	→	fx	t	+0.409	-109.246
dxy	→	reer_gap	t	+0.401	-0.001
reer_gap	→	policy_rate	t	+0.390	-0.155
reer	→	embi_bra	t	-0.384	0.311
reserves	→	fx	t	-0.379	-109.246
reserves_growth	→	embi_bra	t	-0.367	0.311
copper	→	tot	t	-0.358	-4628.398
debt_gap	→	policy_fed_gap	t	-0.355	0.817
fed_funds	→	policy_fed_gap	t	-0.331	0.817
us_hy_oas	→	policy_fed_gap	t	+0.325	0.817
tot	→	fx	t	+0.279	-109.246
fed_funds_chg	→	policy_rate	t	+0.275	-0.155
current_account	→	embi_bra	t	-0.272	0.311
exports_growth	→	current_account	t	+0.262	-1.852
cpi	→	fx	t	+0.260	-109.246
tot_gap	→	embi_bra	t	+0.243	0.311
us_hy_oas	→	policy_rate	t	-0.238	-0.155
reer	→	policy_fed_gap	t	-0.238	0.817
reer_gap	→	policy_fed_gap	t	-0.234	0.817
us_hy_oas	→	fx	t	-0.229	-109.246
fx	→	policy_rate	t	-0.225	-0.155
reserves	→	reserves_growth	t	+0.213	-0.267
fed_funds_chg	→	policy_fed_gap	t	+0.209	0.817

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: us_hy_oas, dxy, oil, exports_growth, nominal_deficit · 152 train / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
dxy	→	embi_bra	t−1	+0.080	0.042
oil	→	embi_bra	t−1	-0.050	0.042
exports_growth	→	embi_bra	t−1	-0.027	0.042
us_hy_oas	→	embi_bra	t−1	-0.018	0.042
nominal_deficit	→	embi_bra	t−1	+0.000	0.042

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]	-0.083	50.0%	-0.100	60.0%	95.0%	55.0%	40.0%	0.147	21	5
pc\|lags=[1]	[1]	-0.083	50.0%	-0.100	60.0%	95.0%	55.0%	40.0%	0.147	40	5
pc_strict\|lags=[1]	[1]	-0.083	50.0%	-0.100	60.0%	95.0%	55.0%	40.0%	0.147	38	5
tan\|lags=[1]	[1]	-0.083	50.0%	-0.100	60.0%	95.0%	55.0%	40.0%	0.147	15	5
hybrid\|lags=[1]	[1]	-0.083	50.0%	-0.100	60.0%	95.0%	55.0%	40.0%	0.147	43	5
theory\|lags=[0, 1, 2]	[0, 1, 2]	-0.107	45.0%	-0.150	60.0%	95.0%	50.0%	55.0%	0.149	21	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	-0.107	45.0%	-0.150	60.0%	95.0%	50.0%	55.0%	0.149	40	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	-0.107	45.0%	-0.150	60.0%	95.0%	50.0%	55.0%	0.149	38	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	-0.107	45.0%	-0.150	60.0%	95.0%	50.0%	55.0%	0.149	15	15
hybrid\|lags=[0, 1, 2]	[0, 1, 2]	-0.107	45.0%	-0.150	60.0%	95.0%	50.0%	55.0%	0.149	43	15
theory\|lags=[1, 3]	[1, 3]	-0.235	50.0%	-0.100	60.0%	90.0%	55.0%	40.0%	0.157	21	10
pc\|lags=[1, 3]	[1, 3]	-0.235	50.0%	-0.100	60.0%	90.0%	55.0%	40.0%	0.157	40	10
pc_strict\|lags=[1, 3]	[1, 3]	-0.235	50.0%	-0.100	60.0%	90.0%	55.0%	40.0%	0.157	38	10
tan\|lags=[1, 3]	[1, 3]	-0.235	50.0%	-0.100	60.0%	90.0%	55.0%	40.0%	0.157	15	10