Costa Rica EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	128 bp (2026-09-02)
Macro fair value	147 bp (month-end 2026-08-31)
Rich / cheap	rich
Gap (current − fair)	-19 bp (-0.787σ)
Month-end residual	-20 bp
Residual σ	24 bp
In-sample R²	0.901

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	-7.4	0
dxy (t)	-0.956	-2.3	0
tot_gap (t)	-0.000	+0.5	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	-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	+0.498	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	+0.327	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	-0.227	-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 / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
dxy	→	embi_bra	t−1	+0.077	0.044
oil	→	embi_bra	t−1	-0.049	0.044
exports_growth	→	embi_bra	t−1	-0.026	0.044
us_hy_oas	→	embi_bra	t−1	-0.005	0.044
nominal_deficit	→	embi_bra	t−1	+0.000	0.044

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]	-0.076	47.4%	-0.158	63.2%	94.7%	52.6%	42.1%	0.145	21	5
pc|lags=[1]	[1]	-0.076	47.4%	-0.158	63.2%	94.7%	52.6%	42.1%	0.145	40	5
pc_strict|lags=[1]	[1]	-0.076	47.4%	-0.158	63.2%	94.7%	52.6%	42.1%	0.145	38	5
tan|lags=[1]	[1]	-0.076	47.4%	-0.158	63.2%	94.7%	52.6%	42.1%	0.145	15	5
hybrid|lags=[1]	[1]	-0.076	47.4%	-0.158	63.2%	94.7%	52.6%	42.1%	0.145	43	5
theory|lags=[1, 3]	[1, 3]	-0.210	47.4%	-0.158	63.2%	94.7%	52.6%	47.4%	0.154	21	10
pc|lags=[1, 3]	[1, 3]	-0.210	47.4%	-0.158	63.2%	94.7%	52.6%	47.4%	0.154	40	10
pc_strict|lags=[1, 3]	[1, 3]	-0.210	47.4%	-0.158	63.2%	94.7%	52.6%	47.4%	0.154	38	10
tan|lags=[1, 3]	[1, 3]	-0.210	47.4%	-0.158	63.2%	94.7%	52.6%	47.4%	0.154	15	10
hybrid|lags=[1, 3]	[1, 3]	-0.210	47.4%	-0.158	63.2%	94.7%	52.6%	47.4%	0.154	43	10
theory|lags=[0, 1, 2]	[0, 1, 2]	-0.269	31.6%	-0.316	63.2%	94.7%	36.8%	47.4%	0.158	21	15
pc|lags=[0, 1, 2]	[0, 1, 2]	-0.269	31.6%	-0.316	63.2%	94.7%	36.8%	47.4%	0.158	40	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	-0.269	31.6%	-0.316	63.2%	94.7%	36.8%	47.4%	0.158	38	15
tan|lags=[0, 1, 2]	[0, 1, 2]	-0.269	31.6%	-0.316	63.2%	94.7%	36.8%	47.4%	0.158	15	15