Mexico EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	200 bp (2026-09-02)
Macro fair value	187 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	+12 bp (0.453σ)
Month-end residual	+9 bp
Residual σ	27 bp
In-sample R²	0.863

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	-14.7	0
dxy (t)	-0.956	-6.0	0
tot_gap (t)	-0.000	-3.4	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	-0.180
fed_funds	→	policy_rate	t	+0.949	-14.741
dxy	→	fx	t	+0.896	-27.372
policy_rate	→	policy_fed_gap	t	+0.862	-0.060
fx	→	embi_bra	t	+0.846	-5.938
dxy	→	embi_bra	t	+0.806	-5.938
tot	→	fx	t	-0.795	-27.372
reserves	→	equity	t	+0.780	-38.553
sp500	→	equity	t	+0.775	-38.553
reer	→	reer_gap	t	+0.754	-62.708
fx	→	reer	t	-0.732	-32.012
nominal_deficit	→	primary_balance	t	+0.726	-2.173
sp500	→	policy_rate	t	+0.721	-14.741
us_hy_oas	→	equity	t	-0.715	-38.553
tot	→	embi_bra	t	-0.684	-5.938
dxy	→	policy_rate	t	+0.683	-14.741
fed_funds	→	policy_fed_gap	t	+0.659	-0.060
oil	→	reer	t	+0.654	-32.012
reserves	→	fx	t	+0.643	-27.372
ust_short	→	policy_rate	t	+0.643	-14.741
fed_funds	→	equity	t	+0.633	-38.553
us_hy_oas	→	policy_rate	t	-0.630	-14.741
oil	→	fx	t	-0.623	-27.372
equity	→	policy_rate	t	+0.610	-14.741
dxy	→	policy_fed_gap	t	+0.605	-0.060
reer_gap	→	policy_rate	t	+0.599	-14.741
tot	→	reer	t	+0.589	-32.012
tot	→	equity	t	-0.561	-38.553
fx	→	policy_fed_gap	t	+0.559	-0.060
global_sentiment	→	equity	t	+0.558	-38.553
sp500	→	policy_fed_gap	t	+0.557	-0.060
oil	→	tot	t	+0.550	-43739.071
cpi	→	policy_fed_gap	t	+0.534	-0.060
cpi	→	equity	t	+0.532	-38.553
us_hy_oas	→	policy_fed_gap	t	-0.526	-0.060
current_account	→	embi_bra	t	+0.524	-5.938
current_account	→	reserves	t	+0.519	-70.704
primary_balance	→	policy_rate	t	+0.503	-14.741
tot	→	reserves	t	-0.503	-70.704
fx	→	equity	t	+0.498	-38.553
policy_fed_gap	→	embi_bra	t	+0.496	-5.938
reer	→	embi_bra	t	-0.493	-5.938
reer_gap	→	equity	t	+0.492	-38.553
oil	→	embi_bra	t	-0.485	-5.938
current_account	→	fx	t	+0.479	-27.372
public_debt_gdp	→	embi_bra	t	+0.456	-5.938
debt_gap	→	embi_bra	t	+0.456	-5.938
us_hy_oas	→	fx	t	-0.455	-27.372
tot_gap	→	reer	t	+0.454	-32.012
fx	→	policy_rate	t	+0.454	-14.741
cpi	→	policy_rate	t	+0.453	-14.741
vix	→	embi_bra	t	+0.449	-5.938
policy_rate	→	embi_bra	t	+0.442	-5.938
equity	→	policy_fed_gap	t	+0.438	-0.060
copper	→	exports_growth	t	+0.426	-6.419
dxy	→	reer	t	-0.424	-32.012
us_hy_oas	→	reer_gap	t	-0.420	-62.708
oil	→	tot_gap	t	+0.405	-84.999
vix	→	equity	t	-0.404	-38.553
reserves_growth	→	equity	t	-0.392	-38.553

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: sp500, dxy, oil, fx, current_account · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
fx	→	embi_bra	t	+0.251	0.616
sp500	→	embi_bra	t	-0.231	0.616
oil	→	embi_bra	t	-0.125	0.616
sp500	→	embi_bra	t−1	-0.097	0.616
dxy	→	embi_bra	t	+0.093	0.616
dxy	→	embi_bra	t−1	+0.041	0.616
fx	→	embi_bra	t−1	-0.024	0.616
current_account	→	embi_bra	t−1	+0.018	0.616
oil	→	embi_bra	t−1	+0.009	0.616
current_account	→	embi_bra	t	+0.001	0.616

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]	0.347	47.4%	0.000	47.4%	89.5%	57.9%	73.7%	0.142	22	10
pc|lags=[0, 1]	[0, 1]	0.347	47.4%	0.000	47.4%	89.5%	57.9%	73.7%	0.142	44	10
pc_strict|lags=[0, 1]	[0, 1]	0.347	47.4%	0.000	47.4%	89.5%	57.9%	73.7%	0.142	40	10
tan|lags=[0, 1]	[0, 1]	0.347	47.4%	0.000	47.4%	89.5%	57.9%	73.7%	0.142	15	10
hybrid|lags=[0, 1]	[0, 1]	0.347	47.4%	0.000	47.4%	89.5%	57.9%	73.7%	0.142	43	10
theory|lags=[0, 1, 2]	[0, 1, 2]	0.223	42.1%	-0.053	47.4%	78.9%	47.4%	73.7%	0.155	22	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.223	42.1%	-0.053	47.4%	78.9%	47.4%	73.7%	0.155	44	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.223	42.1%	-0.053	47.4%	78.9%	47.4%	73.7%	0.155	40	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.223	42.1%	-0.053	47.4%	78.9%	47.4%	73.7%	0.155	15	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	0.223	42.1%	-0.053	47.4%	78.9%	47.4%	73.7%	0.155	43	15
theory|lags=[0]	[0]	0.182	42.1%	-0.053	47.4%	84.2%	52.6%	68.4%	0.159	22	5
pc|lags=[0]	[0]	0.182	42.1%	-0.053	47.4%	84.2%	52.6%	68.4%	0.159	44	5
pc_strict|lags=[0]	[0]	0.182	42.1%	-0.053	47.4%	84.2%	52.6%	68.4%	0.159	40	5
tan|lags=[0]	[0]	0.182	42.1%	-0.053	47.4%	84.2%	52.6%	68.4%	0.159	15	5