Mexico EMBI directed graphs

Monthly — is the current spread priced?

fair

Mexico EMBI is fairly priced at 213 bp (fair 219 bp).

The EMBI tightened 20 bp over the last 6 months (233 → 213 bp). Last month it widened another 16 bp. Last month’s move was led by US high-yield spreads (+27 bp, wider); USD broad (+13 bp, wider); the terms-of-trade gap (-6 bp, tighter). Versus the graph fair-value, the print is in line with the macros.

The local exchange rate increased, which put downward pressure on the real exchange rate (REER), which typically widens the EMBI spread.
US high-yield spreads widened, which put downward pressure on the local exchange rate, which typically tightens the EMBI spread.
Fed funds increased, which put upward pressure on the local policy rate, which typically widens the EMBI spread.

Current EMBI	213 bp (2026-10-15)
Macro fair value	219 bp (month-end 2026-09-30)
Rich / cheap	fair
Gap (current − fair)	-6 bp (-0.217σ)
Month-end residual	-6 bp
Residual σ	26 bp
In-sample R²	0.864

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	+26.9	0
dxy (t)	2.401	+13.1	0
tot_gap (t)	-0.000	-5.9	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	-0.180
fed_funds	→	policy_rate	t	+0.949	-13.179
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	-0.001
fx	→	reer	t	-0.732	-32.025
nominal_deficit	→	primary_balance	t	+0.726	-2.173
sp500	→	policy_rate	t	+0.721	-13.179
us_hy_oas	→	equity	t	-0.711	-38.553
tot	→	embi_bra	t	-0.684	-5.938
dxy	→	policy_rate	t	+0.683	-13.179
fed_funds	→	policy_fed_gap	t	+0.659	-0.060
oil	→	reer	t	+0.654	-32.025
reserves	→	fx	t	+0.643	-27.372
ust_short	→	policy_rate	t	+0.643	-13.179
fed_funds	→	equity	t	+0.633	-38.553
us_hy_oas	→	policy_rate	t	-0.629	-13.179
oil	→	fx	t	-0.623	-27.372
equity	→	policy_rate	t	+0.610	-13.179
dxy	→	policy_fed_gap	t	+0.605	-0.060
reer_gap	→	policy_rate	t	+0.599	-13.179
tot	→	reer	t	+0.589	-32.025
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	-0.525	-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	-13.179
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	-32.025
fx	→	policy_rate	t	+0.454	-13.179
cpi	→	policy_rate	t	+0.453	-13.179
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	-32.025
us_hy_oas	→	reer_gap	t	-0.417	-0.001
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 / 20 test through 2026-10-31.

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]	0.403	50.0%	0.050	45.0%	90.0%	60.0%	75.0%	0.137	22	10
pc\|lags=[0, 1]	[0, 1]	0.403	50.0%	0.050	45.0%	90.0%	60.0%	75.0%	0.137	44	10
pc_strict\|lags=[0, 1]	[0, 1]	0.403	50.0%	0.050	45.0%	90.0%	60.0%	75.0%	0.137	40	10
tan\|lags=[0, 1]	[0, 1]	0.403	50.0%	0.050	45.0%	90.0%	60.0%	75.0%	0.137	15	10
hybrid\|lags=[0, 1]	[0, 1]	0.403	50.0%	0.050	45.0%	90.0%	60.0%	75.0%	0.137	43	10
theory\|lags=[0, 1, 2]	[0, 1, 2]	0.292	50.0%	0.050	45.0%	80.0%	55.0%	75.0%	0.149	22	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	0.292	50.0%	0.050	45.0%	80.0%	55.0%	75.0%	0.149	44	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	0.292	50.0%	0.050	45.0%	80.0%	55.0%	75.0%	0.149	40	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	0.292	50.0%	0.050	45.0%	80.0%	55.0%	75.0%	0.149	15	15
hybrid\|lags=[0, 1, 2]	[0, 1, 2]	0.292	50.0%	0.050	45.0%	80.0%	55.0%	75.0%	0.149	43	15
theory\|lags=[0]	[0]	0.244	45.0%	0.000	45.0%	85.0%	55.0%	70.0%	0.154	22	5
pc\|lags=[0]	[0]	0.244	45.0%	0.000	45.0%	85.0%	55.0%	70.0%	0.154	44	5
pc_strict\|lags=[0]	[0]	0.244	45.0%	0.000	45.0%	85.0%	55.0%	70.0%	0.154	40	5
tan\|lags=[0]	[0]	0.244	45.0%	0.000	45.0%	85.0%	55.0%	70.0%	0.154	15	5