Dominican Republic EMBI directed graphs

Monthly — is the current spread priced?

fair

Dominican Republic EMBI is fairly priced at 181 bp (fair 188 bp).

The EMBI tightened 45 bp over the last 6 months (221 → 176 bp). Last month it widened another 18 bp. Last month’s move was led by US high-yield spreads (+28 bp, wider); USD broad (+2 bp, wider); the terms-of-trade gap (-2 bp, tighter). Versus the graph fair-value, the print is in line with the macros.

US high-yield spreads widened, which put upward pressure on the local policy–Fed funds gap, which typically widens the EMBI spread.
Fed funds increased, which put downward pressure on the local policy–Fed funds gap, which typically tightens the EMBI spread.
USD broad increased, which put upward pressure on the local exchange rate, which typically tightens the EMBI spread.

Current EMBI	181 bp (2026-10-15)
Macro fair value	188 bp (month-end 2026-09-30)
Rich / cheap	fair
Gap (current − fair)	-7 bp (-0.318σ)
Month-end residual	-11 bp
Residual σ	22 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)	0.490	+28.1	0
dxy (t)	2.401	+2.0	0
tot_gap (t)	-0.000	-1.9	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	0.985
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	+0.763	-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	-0.670	-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	+0.602	-2.189
us_hy_oas	→	reer	t	+0.590	-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	-0.003
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	-0.003
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	-0.003
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	-0.158	-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 / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.377	0.471
dxy	→	embi_bra	t	+0.283	0.471
nominal_deficit	→	embi_bra	t	+0.091	0.471
reer	→	embi_bra	t	+0.076	0.471
oil	→	embi_bra	t	-0.057	0.471

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]	0.168	35.0%	0.000	35.0%	95.0%	40.0%	70.0%	0.174	18	5
pc\|lags=[0]	[0]	0.168	35.0%	0.000	35.0%	95.0%	40.0%	70.0%	0.174	38	5
pc_strict\|lags=[0]	[0]	0.168	35.0%	0.000	35.0%	95.0%	40.0%	70.0%	0.174	30	5
tan\|lags=[0]	[0]	0.168	35.0%	0.000	35.0%	95.0%	40.0%	70.0%	0.174	15	5
hybrid\|lags=[0]	[0]	0.168	35.0%	0.000	35.0%	95.0%	40.0%	70.0%	0.174	41	5
theory\|lags=[1, 3]	[1, 3]	-0.164	35.0%	0.000	35.0%	95.0%	35.0%	50.0%	0.206	18	10
pc\|lags=[1, 3]	[1, 3]	-0.164	35.0%	0.000	35.0%	95.0%	35.0%	50.0%	0.206	38	10
pc_strict\|lags=[1, 3]	[1, 3]	-0.164	35.0%	0.000	35.0%	95.0%	35.0%	50.0%	0.206	30	10
tan\|lags=[1, 3]	[1, 3]	-0.164	35.0%	0.000	35.0%	95.0%	35.0%	50.0%	0.206	15	10
hybrid\|lags=[1, 3]	[1, 3]	-0.164	35.0%	0.000	35.0%	95.0%	35.0%	50.0%	0.206	41	10
theory\|lags=[1]	[1]	-0.226	40.0%	0.050	35.0%	95.0%	40.0%	55.0%	0.211	18	5
pc\|lags=[1]	[1]	-0.226	40.0%	0.050	35.0%	95.0%	40.0%	55.0%	0.211	38	5
pc_strict\|lags=[1]	[1]	-0.226	40.0%	0.050	35.0%	95.0%	40.0%	55.0%	0.211	30	5
tan\|lags=[1]	[1]	-0.226	40.0%	0.050	35.0%	95.0%	40.0%	55.0%	0.211	15	5