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Ecuador EMBI directed graphs

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Monthly — is the current spread priced?

fair

Ecuador EMBI is fairly priced at 535 bp (fair 579 bp).

The EMBI tightened 17 bp over the last 6 months (506 → 488 bp). Last month it widened another 79 bp. Last month’s move was led by US high-yield spreads (+118 bp, wider); USD broad (+41 bp, wider); the terms-of-trade gap (+20 bp, wider). Versus the graph fair-value, the print is in line with the macros.

  • US high-yield spreads widened, which typically widens the EMBI spread.
  • USD broad increased, which typically widens the EMBI spread.
EMBI vs macro fair value
Current EMBI535 bp (2026-10-15)
Macro fair value579 bp (month-end 2026-09-30)
Rich / cheapfair
Gap (current − fair)-44 bp (-0.408σ)
Month-end residual-90 bp
Residual σ107 bp
In-sample R²0.945

4 monthly print(s) may not yet have been tradable at the last EMBI date.

ParentΔ last monthContrib bpTypical print lag (d)
us_hy_oas (t)0.490+118.30
dxy (t)2.401+40.50
tot_gap (t)0.000+20.145
tot (t)0.000+0.045
debt_gap (t)0.000+0.035
current_account (t)0.000+0.025

Has EMBI had time to trade the prints?

InputEst. releaseTraded after print?Days since
us_hy_oas2026-09-30yes15
tot2026-11-14pending-30
tot_gap2026-11-14pending-30
dxy2026-09-30yes15
debt_gap2026-11-04pending-20
current_account2026-10-25pending-10

Monthly DAG

Ecuador EMBI monthly DAG train 2010-01-31→2025-02-28 (182) · holdout 2025-03-31→2026-10-31 (20) Global macro ToT / activity Fiscal EMBI / equity USD broad US HY OAS copper commodity ToT ToT gap debt gap nominal deficit primary balance debt/GDP EMBI Ecuador green + · red − · bold = story chain

Narrative edges (strongest first)

FromToLagβ (z)Child R²
public_debt_gdp→debt_gapt+1.000-3.051
nominal_deficit→primary_balancet+0.7480.531
copper→tot_gapt+0.720-161.561
tot_gap→current_accountt+0.6170.424
current_account→reservest+0.6080.238
exports_growth→current_accountt+0.5570.424
copper→exports_growtht+0.515-36.635
copper→tott+0.506-1026.288
tot_gap→primary_balancet+0.4280.531
dxy→embi_brat+0.426-1.328
primary_balance→embi_brat+0.411-1.328
tot→embi_brat-0.383-1.328
tot→exports_growtht+0.382-36.635
tot→current_accountt+0.3540.424
public_debt_gdp→embi_brat+0.285-1.328
debt_gap→embi_brat+0.285-1.328
reserves→reserves_growtht+0.2640.172
primary_balance→public_debt_gdpt+0.247-0.604
primary_balance→debt_gapt+0.247-3.051
nominal_deficit→public_debt_gdpt+0.228-0.604
tot→primary_balancet+0.1780.531
us_hy_oas→embi_brat+0.160-1.328
current_account→reserves_growtht-0.1450.172
current_account→embi_brat-0.125-1.328
tot_gap→embi_brat-0.089-1.328
reserves_growth→embi_brat-0.085-1.328
tot→reservest+0.0460.238
copper→embi_brat-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 / 20 test through 2026-10-31.

FromToLagβ (z)Child R²
tot→embi_brat-0.1120.206
us_hy_oas→embi_brat+0.0960.206
dxy→embi_brat+0.0790.206
us_hy_oas→embi_brat−2+0.0750.206
us_hy_oas→embi_brat−1+0.0690.206
primary_balance→embi_brat−2+0.0390.206
dxy→embi_brat−1-0.0370.206
reserves_growth→embi_brat−1+0.0320.206
tot→embi_brat−1-0.0250.206
primary_balance→embi_brat−1-0.0210.206
reserves_growth→embi_brat+0.0210.206
tot→embi_brat−2+0.0140.206
primary_balance→embi_brat-0.0100.206
dxy→embi_brat−2-0.0090.206
reserves_growth→embi_brat−2-0.0050.206
MethodLagsOOS R²σ-quintileLift vs naiveNaive middle±1 bin3-classSignRMSE ΔEdgesParents
theory|lags=[0, 1, 2] ← best[0, 1, 2]0.19145.0%-0.20065.0%100.0%50.0%75.0%1.2321015
pc|lags=[0, 1, 2][0, 1, 2]0.19145.0%-0.20065.0%100.0%50.0%75.0%1.2321415
pc_strict|lags=[0, 1, 2][0, 1, 2]0.19145.0%-0.20065.0%100.0%50.0%75.0%1.2321415
tan|lags=[0, 1, 2][0, 1, 2]0.19145.0%-0.20065.0%100.0%50.0%75.0%1.232915
hybrid|lags=[0, 1, 2][0, 1, 2]0.19145.0%-0.20065.0%100.0%50.0%75.0%1.2321615
theory|lags=[0][0]0.16135.0%-0.30065.0%100.0%45.0%65.0%1.255105
pc|lags=[0][0]0.16135.0%-0.30065.0%100.0%45.0%65.0%1.255145
pc_strict|lags=[0][0]0.16135.0%-0.30065.0%100.0%45.0%65.0%1.255145
tan|lags=[0][0]0.16135.0%-0.30065.0%100.0%45.0%65.0%1.25595
hybrid|lags=[0][0]0.16135.0%-0.30065.0%100.0%45.0%65.0%1.255165
theory|lags=[0, 1][0, 1]0.15650.0%-0.15065.0%100.0%60.0%70.0%1.2581010
pc|lags=[0, 1][0, 1]0.15650.0%-0.15065.0%100.0%60.0%70.0%1.2581410
pc_strict|lags=[0, 1][0, 1]0.15650.0%-0.15065.0%100.0%60.0%70.0%1.2581410
tan|lags=[0, 1][0, 1]0.15650.0%-0.15065.0%100.0%60.0%70.0%1.258910