Guatemala EMBI directed graphs

Monthly — is the current spread priced?

very rich

Guatemala EMBI looks very rich at 127 bp vs fair 159 bp (-31 bp / -1.8σ tight).

The EMBI tightened 32 bp over the last 6 months (155 → 124 bp). Last month it widened another 13 bp. Last month’s move was led by US high-yield spreads (+30 bp, wider); USD broad (+6 bp, wider); the terms-of-trade gap (-2 bp, tighter). It looks very rich because the market print (127 bp) is tighter than macro fair value (159 bp, gap -31 bp).

The local exchange rate decreased, which put downward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
US high-yield spreads widened, which put upward pressure on the local policy–Fed funds gap, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
Fed funds chg increased, which put downward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	127 bp (2026-10-15)
Macro fair value	159 bp (month-end 2026-09-30)
Rich / cheap	very_rich
Gap (current − fair)	-31 bp (-1.815σ)
Month-end residual	-35 bp
Residual σ	17 bp
In-sample R²	0.849

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	+29.7	0
dxy (t)	2.401	+5.6	0
tot_gap (t)	-0.000	-1.6	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	-10.735
dxy	→	policy_fed_gap	t	-0.903	0.928
nominal_deficit	→	primary_balance	t	+0.877	-3.091
oil	→	tot	t	-0.834	-3466.619
current_account	→	reserves	t	+0.818	0.672
sp500	→	policy_fed_gap	t	-0.794	0.928
fed_funds	→	policy_fed_gap	t	-0.782	0.928
oil	→	tot_gap	t	-0.686	-17.893
us_hy_oas	→	embi_bra	t	+0.674	-5.620
copper	→	tot_gap	t	-0.661	-17.893
vix	→	embi_bra	t	+0.654	-5.620
us_hy_oas	→	policy_fed_gap	t	+0.597	0.928
ust_short	→	policy_rate	t	+0.575	-0.758
nominal_deficit	→	policy_rate	t	+0.527	-0.758
oil	→	fx	t	+0.498	-2525.953
tot_gap	→	current_account	t	-0.495	0.239
primary_balance	→	debt_gap	t	-0.491	-10.735
primary_balance	→	public_debt_gdp	t	-0.491	-66.631
tot	→	fx	t	-0.488	-2525.953
ust_short	→	policy_fed_gap	t	-0.484	0.928
nominal_deficit	→	public_debt_gdp	t	-0.473	-66.631
primary_balance	→	policy_rate	t	+0.450	-0.758
fx	→	policy_rate	t	+0.432	-0.758
vix	→	policy_rate	t	-0.409	-0.758
fed_funds	→	policy_rate	t	+0.391	-0.758
copper	→	exports_growth	t	+0.377	-54.408
dxy	→	policy_rate	t	-0.374	-0.758
copper	→	fx	t	+0.372	-2525.953
tot_gap	→	fx	t	-0.349	-2525.953
debt_gap	→	policy_fed_gap	t	-0.332	0.928
copper	→	tot	t	-0.324	-3466.619
fx	→	embi_bra	t	+0.314	-5.620
policy_rate	→	embi_bra	t	-0.289	-5.620
cpi	→	policy_fed_gap	t	-0.282	0.928
tot	→	reserves	t	+0.273	0.672
policy_rate	→	policy_fed_gap	t	+0.268	0.928
current_account	→	fx	t	+0.247	-2525.953
dxy	→	fx	t	-0.236	-2525.953
vix	→	fx	t	+0.211	-2525.953
public_debt_gdp	→	policy_rate	t	-0.206	-0.758
debt_gap	→	policy_rate	t	-0.206	-0.758
us_hy_oas	→	fx	t	+0.197	-2525.953
primary_balance	→	embi_bra	t	-0.187	-5.620
tot	→	current_account	t	+0.181	0.239
fed_funds_chg	→	policy_fed_gap	t	-0.179	0.928
copper	→	embi_bra	t	-0.166	-5.620
exports_growth	→	current_account	t	+0.166	0.239
policy_fed_gap	→	embi_bra	t	+0.163	-5.620
oil	→	embi_bra	t	-0.158	-5.620
fx	→	policy_fed_gap	t	+0.151	0.928
oil	→	primary_balance	t	+0.146	-3.091
reserves	→	fx	t	+0.146	-2525.953
vix	→	policy_fed_gap	t	-0.143	0.928
oil	→	exports_growth	t	+0.115	-54.408
debt_gap	→	embi_bra	t	+0.106	-5.620
public_debt_gdp	→	embi_bra	t	+0.106	-5.620
current_account	→	reserves_growth	t	+0.104	-0.009
tot_gap	→	primary_balance	t	+0.098	-3.091
fed_funds_chg	→	policy_rate	t	-0.092	-0.758
tot	→	exports_growth	t	-0.088	-54.408

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] · parents: us_hy_oas, dxy, oil, fx, nominal_deficit · 153 train / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.503	0.586
dxy	→	embi_bra	t	+0.180	0.586
us_hy_oas	→	embi_bra	t−1	+0.161	0.586
fx	→	embi_bra	t	+0.141	0.586
nominal_deficit	→	embi_bra	t	-0.131	0.586
oil	→	embi_bra	t	-0.065	0.586
nominal_deficit	→	embi_bra	t−1	+0.059	0.586
oil	→	embi_bra	t−1	+0.049	0.586
fx	→	embi_bra	t−1	+0.040	0.586
dxy	→	embi_bra	t−1	+0.036	0.586

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory\|lags=[0, 1] ← best	[0, 1]	0.209	35.0%	-0.100	45.0%	95.0%	45.0%	65.0%	0.131	19	10
pc\|lags=[0, 1]	[0, 1]	0.209	35.0%	-0.100	45.0%	95.0%	45.0%	65.0%	0.131	31	10
pc_strict\|lags=[0, 1]	[0, 1]	0.209	35.0%	-0.100	45.0%	95.0%	45.0%	65.0%	0.131	29	10
tan\|lags=[0, 1]	[0, 1]	0.209	35.0%	-0.100	45.0%	95.0%	45.0%	65.0%	0.131	10	10
hybrid\|lags=[0, 1]	[0, 1]	0.209	35.0%	-0.100	45.0%	95.0%	45.0%	65.0%	0.131	29	10
theory\|lags=[0]	[0]	0.086	35.0%	-0.100	45.0%	95.0%	35.0%	70.0%	0.141	19	5
pc\|lags=[0]	[0]	0.086	35.0%	-0.100	45.0%	95.0%	35.0%	70.0%	0.141	31	5
pc_strict\|lags=[0]	[0]	0.086	35.0%	-0.100	45.0%	95.0%	35.0%	70.0%	0.141	29	5
tan\|lags=[0]	[0]	0.086	35.0%	-0.100	45.0%	95.0%	35.0%	70.0%	0.141	10	5
hybrid\|lags=[0]	[0]	0.086	35.0%	-0.100	45.0%	95.0%	35.0%	70.0%	0.141	29	5
theory\|lags=[1]	[1]	-0.012	60.0%	0.150	45.0%	95.0%	60.0%	60.0%	0.148	19	5
pc\|lags=[1]	[1]	-0.012	60.0%	0.150	45.0%	95.0%	60.0%	60.0%	0.148	31	5
pc_strict\|lags=[1]	[1]	-0.012	60.0%	0.150	45.0%	95.0%	60.0%	60.0%	0.148	29	5
tan\|lags=[1]	[1]	-0.012	60.0%	0.150	45.0%	95.0%	60.0%	60.0%	0.148	10	5