Ecuador EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	418 bp (2026-09-02)
Macro fair value	401 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	+17 bp (0.156σ)
Month-end residual	+9 bp
Residual σ	109 bp
In-sample R²	0.942

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	-53.6	0
tot_gap (t)	0.000	+20.0	45
dxy (t)	-0.956	-16.2	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	-3.051
nominal_deficit	→	primary_balance	t	+0.748	0.531
copper	→	tot_gap	t	+0.720	-161.561
tot_gap	→	current_account	t	+0.617	0.424
current_account	→	reserves	t	+0.608	0.238
exports_growth	→	current_account	t	+0.557	0.424
copper	→	exports_growth	t	+0.515	-36.635
copper	→	tot	t	+0.506	-1026.288
tot_gap	→	primary_balance	t	+0.428	0.531
dxy	→	embi_bra	t	+0.426	-1.328
primary_balance	→	embi_bra	t	+0.411	-1.328
tot	→	embi_bra	t	-0.383	-1.328
tot	→	exports_growth	t	+0.382	-36.635
tot	→	current_account	t	+0.354	0.424
public_debt_gdp	→	embi_bra	t	+0.285	-1.328
debt_gap	→	embi_bra	t	+0.285	-1.328
reserves	→	reserves_growth	t	+0.264	0.172
primary_balance	→	public_debt_gdp	t	+0.247	-0.604
primary_balance	→	debt_gap	t	+0.247	-3.051
nominal_deficit	→	public_debt_gdp	t	+0.228	-0.604
tot	→	primary_balance	t	+0.178	0.531
us_hy_oas	→	embi_bra	t	+0.160	-1.328
current_account	→	reserves_growth	t	-0.145	0.172
current_account	→	embi_bra	t	-0.125	-1.328
tot_gap	→	embi_bra	t	-0.089	-1.328
reserves_growth	→	embi_bra	t	-0.085	-1.328
tot	→	reserves	t	+0.046	0.238
copper	→	embi_bra	t	-0.029	-1.328

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, 1, 2] · parents: us_hy_oas, dxy, tot, reserves_growth, primary_balance · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
tot	→	embi_bra	t	-0.113	0.202
us_hy_oas	→	embi_bra	t	+0.101	0.202
us_hy_oas	→	embi_bra	t−2	+0.084	0.202
dxy	→	embi_bra	t	+0.072	0.202
us_hy_oas	→	embi_bra	t−1	+0.036	0.202
primary_balance	→	embi_bra	t−2	+0.035	0.202
dxy	→	embi_bra	t−1	-0.034	0.202
reserves_growth	→	embi_bra	t−1	+0.033	0.202
tot	→	embi_bra	t−1	-0.029	0.202
reserves_growth	→	embi_bra	t	+0.021	0.202
primary_balance	→	embi_bra	t−1	-0.019	0.202
tot	→	embi_bra	t−2	+0.014	0.202
primary_balance	→	embi_bra	t	-0.013	0.202
dxy	→	embi_bra	t−2	-0.006	0.202
reserves_growth	→	embi_bra	t−2	-0.003	0.202

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory|lags=[0, 1, 2] ← best	[0, 1, 2]	0.178	47.4%	-0.211	68.4%	94.7%	52.6%	73.7%	1.238	10	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.178	47.4%	-0.211	68.4%	94.7%	52.6%	73.7%	1.238	14	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.178	47.4%	-0.211	68.4%	94.7%	52.6%	73.7%	1.238	14	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.178	47.4%	-0.211	68.4%	94.7%	52.6%	73.7%	1.238	9	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	0.178	47.4%	-0.211	68.4%	94.7%	52.6%	73.7%	1.238	16	15
theory|lags=[0, 1]	[0, 1]	0.140	47.4%	-0.211	68.4%	94.7%	57.9%	68.4%	1.266	10	10
pc|lags=[0, 1]	[0, 1]	0.140	47.4%	-0.211	68.4%	94.7%	57.9%	68.4%	1.266	14	10
pc_strict|lags=[0, 1]	[0, 1]	0.140	47.4%	-0.211	68.4%	94.7%	57.9%	68.4%	1.266	14	10
tan|lags=[0, 1]	[0, 1]	0.140	47.4%	-0.211	68.4%	94.7%	57.9%	68.4%	1.266	9	10
hybrid|lags=[0, 1]	[0, 1]	0.140	47.4%	-0.211	68.4%	94.7%	57.9%	68.4%	1.266	16	10
theory|lags=[0]	[0]	0.134	36.8%	-0.316	68.4%	100.0%	47.4%	63.2%	1.270	10	5
pc|lags=[0]	[0]	0.134	36.8%	-0.316	68.4%	100.0%	47.4%	63.2%	1.270	14	5
pc_strict|lags=[0]	[0]	0.134	36.8%	-0.316	68.4%	100.0%	47.4%	63.2%	1.270	14	5
tan|lags=[0]	[0]	0.134	36.8%	-0.316	68.4%	100.0%	47.4%	63.2%	1.270	9	5