Guatemala EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	111 bp (2026-09-02)
Macro fair value	130 bp (month-end 2026-08-31)
Rich / cheap	rich
Gap (current − fair)	-19 bp (-1.056σ)
Month-end residual	-20 bp
Residual σ	18 bp
In-sample R²	0.853

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	-12.4	0
dxy (t)	-0.956	-2.2	0
tot_gap (t)	-0.000	-0.4	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	2026-08-31	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	-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	+0.675	-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	+0.599	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	+0.198	-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 / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.491	0.584
dxy	→	embi_bra	t	+0.165	0.584
fx	→	embi_bra	t	+0.139	0.584
us_hy_oas	→	embi_bra	t−1	+0.102	0.584
nominal_deficit	→	embi_bra	t	-0.101	0.584
oil	→	embi_bra	t	-0.084	0.584
oil	→	embi_bra	t−1	+0.047	0.584
nominal_deficit	→	embi_bra	t−1	+0.043	0.584
dxy	→	embi_bra	t−1	+0.035	0.584
fx	→	embi_bra	t−1	+0.034	0.584

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]	0.248	31.6%	-0.158	47.4%	94.7%	42.1%	57.9%	0.126	19	10
pc|lags=[0, 1]	[0, 1]	0.248	31.6%	-0.158	47.4%	94.7%	42.1%	57.9%	0.126	31	10
pc_strict|lags=[0, 1]	[0, 1]	0.248	31.6%	-0.158	47.4%	94.7%	42.1%	57.9%	0.126	29	10
tan|lags=[0, 1]	[0, 1]	0.248	31.6%	-0.158	47.4%	94.7%	42.1%	57.9%	0.126	10	10
hybrid|lags=[0, 1]	[0, 1]	0.248	31.6%	-0.158	47.4%	94.7%	42.1%	57.9%	0.126	29	10
theory|lags=[0]	[0]	0.109	26.3%	-0.211	47.4%	94.7%	31.6%	57.9%	0.137	19	5
pc|lags=[0]	[0]	0.109	26.3%	-0.211	47.4%	94.7%	31.6%	57.9%	0.137	31	5
pc_strict|lags=[0]	[0]	0.109	26.3%	-0.211	47.4%	94.7%	31.6%	57.9%	0.137	29	5
tan|lags=[0]	[0]	0.109	26.3%	-0.211	47.4%	94.7%	31.6%	57.9%	0.137	10	5
hybrid|lags=[0]	[0]	0.109	26.3%	-0.211	47.4%	94.7%	31.6%	57.9%	0.137	29	5
theory|lags=[1]	[1]	-0.007	57.9%	0.105	47.4%	94.7%	57.9%	57.9%	0.145	19	5
pc|lags=[1]	[1]	-0.007	57.9%	0.105	47.4%	94.7%	57.9%	57.9%	0.145	31	5
pc_strict|lags=[1]	[1]	-0.007	57.9%	0.105	47.4%	94.7%	57.9%	57.9%	0.145	29	5
tan|lags=[1]	[1]	-0.007	57.9%	0.105	47.4%	94.7%	57.9%	57.9%	0.145	10	5