Dominican Republic EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	159 bp (2026-09-02)
Macro fair value	161 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	-2 bp (-0.068σ)
Month-end residual	-3 bp
Residual σ	24 bp
In-sample R²	0.918

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	-12.1	0
tot_gap (t)	-0.000	-1.4	45
dxy (t)	-0.956	-1.1	0
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	0.985
nominal_deficit	→	primary_balance	t	+0.964	-78.368
dxy	→	fx	t	+0.894	-27.436
oil	→	tot	t	-0.890	-1460.009
reserves	→	fx	t	+0.886	-27.436
fx	→	reer	t	-0.853	-285.664
us_hy_oas	→	embi_bra	t	+0.767	-3.817
fx	→	policy_fed_gap	t	-0.752	-2.189
copper	→	tot_gap	t	-0.752	-27.818
sp500	→	policy_fed_gap	t	-0.749	-2.189
oil	→	tot_gap	t	-0.741	-27.818
dxy	→	policy_fed_gap	t	-0.702	-2.189
reer_gap	→	policy_rate	t	+0.688	-2.003
us_hy_oas	→	fx	t	-0.672	-27.436
ust_short	→	policy_rate	t	+0.657	-2.003
fed_funds	→	policy_fed_gap	t	-0.654	-2.189
dxy	→	reer	t	-0.648	-285.664
reer	→	policy_fed_gap	t	+0.637	-2.189
fed_funds	→	policy_rate	t	+0.612	-2.003
tot	→	fx	t	+0.609	-27.436
tot	→	reer	t	-0.605	-285.664
us_hy_oas	→	policy_fed_gap	t	+0.604	-2.189
us_hy_oas	→	reer	t	+0.592	-285.664
vix	→	embi_bra	t	+0.587	-3.817
debt_gap	→	policy_fed_gap	t	-0.578	-2.189
policy_fed_gap	→	embi_bra	t	+0.528	-3.817
reer	→	reer_gap	t	+0.520	-9.421
copper	→	tot	t	-0.455	-1460.009
nominal_deficit	→	public_debt_gdp	t	-0.450	-9.269
nominal_deficit	→	policy_rate	t	+0.401	-2.003
primary_balance	→	debt_gap	t	-0.398	0.985
primary_balance	→	public_debt_gdp	t	-0.398	-9.269
oil	→	reer	t	+0.393	-285.664
primary_balance	→	policy_rate	t	+0.364	-2.003
fx	→	embi_bra	t	-0.351	-3.817
oil	→	fx	t	-0.338	-27.436
tot	→	reserves	t	+0.325	0.304
dxy	→	reer_gap	t	+0.314	-9.421
reer	→	embi_bra	t	+0.306	-3.817
reer	→	policy_rate	t	+0.290	-2.003
dxy	→	embi_bra	t	-0.289	-3.817
ust_short	→	policy_fed_gap	t	-0.282	-2.189
current_account	→	fx	t	-0.268	-27.436
current_account	→	reserves	t	-0.258	0.304
tot	→	reer_gap	t	-0.257	-9.421
fed_funds_chg	→	policy_rate	t	+0.242	-2.003
current_account	→	reserves_growth	t	-0.241	-0.019
copper	→	fx	t	+0.228	-27.436
tot_gap	→	fx	t	-0.224	-27.436
copper	→	embi_bra	t	-0.221	-3.817
vix	→	policy_rate	t	-0.208	-2.003
policy_rate	→	policy_fed_gap	t	+0.197	-2.189
tot_gap	→	primary_balance	t	+0.185	-78.368
policy_rate	→	embi_bra	t	-0.174	-3.817
us_hy_oas	→	policy_rate	t	-0.159	-2.003
sp500	→	policy_rate	t	+0.156	-2.003
tot_gap	→	embi_bra	t	+0.132	-3.817
current_account	→	embi_bra	t	-0.119	-3.817
reserves_growth	→	embi_bra	t	+0.118	-3.817
tot_gap	→	reer	t	+0.114	-285.664

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] · parents: us_hy_oas, dxy, oil, reer, nominal_deficit · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.393	0.490
dxy	→	embi_bra	t	+0.272	0.490
nominal_deficit	→	embi_bra	t	+0.101	0.490
reer	→	embi_bra	t	+0.072	0.490
oil	→	embi_bra	t	-0.065	0.490

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory|lags=[0] ← best	[0]	0.054	36.8%	0.000	36.8%	89.5%	36.8%	68.4%	0.184	18	5
pc|lags=[0]	[0]	0.054	36.8%	0.000	36.8%	89.5%	36.8%	68.4%	0.184	38	5
pc_strict|lags=[0]	[0]	0.054	36.8%	0.000	36.8%	89.5%	36.8%	68.4%	0.184	30	5
tan|lags=[0]	[0]	0.054	36.8%	0.000	36.8%	89.5%	36.8%	68.4%	0.184	15	5
hybrid|lags=[0]	[0]	0.054	36.8%	0.000	36.8%	89.5%	36.8%	68.4%	0.184	40	5
theory|lags=[1, 3]	[1, 3]	-0.157	36.8%	0.000	36.8%	94.7%	36.8%	52.6%	0.204	18	10
pc|lags=[1, 3]	[1, 3]	-0.157	36.8%	0.000	36.8%	94.7%	36.8%	52.6%	0.204	38	10
pc_strict|lags=[1, 3]	[1, 3]	-0.157	36.8%	0.000	36.8%	94.7%	36.8%	52.6%	0.204	30	10
tan|lags=[1, 3]	[1, 3]	-0.157	36.8%	0.000	36.8%	94.7%	36.8%	52.6%	0.204	15	10
hybrid|lags=[1, 3]	[1, 3]	-0.157	36.8%	0.000	36.8%	94.7%	36.8%	52.6%	0.204	40	10
theory|lags=[1]	[1]	-0.195	42.1%	0.053	36.8%	94.7%	42.1%	57.9%	0.207	18	5
pc|lags=[1]	[1]	-0.195	42.1%	0.053	36.8%	94.7%	42.1%	57.9%	0.207	38	5
pc_strict|lags=[1]	[1]	-0.195	42.1%	0.053	36.8%	94.7%	42.1%	57.9%	0.207	30	5
tan|lags=[1]	[1]	-0.195	42.1%	0.053	36.8%	94.7%	42.1%	57.9%	0.207	15	5