Panama EMBI directed graphs
Monthly — is the current spread priced?
rich
Panama EMBI looks rich at 126 bp vs fair 153 bp (-27 bp tight).
The EMBI tightened 25 bp over the last 6 months (159 → 134 bp). Last month it widened another 14 bp. Last month’s move was led by US high-yield spreads (+21 bp, wider); USD broad (-5 bp, tighter); the terms-of-trade gap (+2 bp, wider). It looks rich because the market print (126 bp) is tighter than macro fair value (153 bp, gap -27 bp).
- USD broad increased, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
| Current EMBI | 126 bp (2026-10-15) |
|---|---|
| Macro fair value | 153 bp (month-end 2026-09-30) |
| Rich / cheap | rich |
| Gap (current − fair) | -27 bp (-1.110σ) |
| Month-end residual | -19 bp |
| Residual σ | 24 bp |
| In-sample R² | 0.851 |
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 | +21.3 | 0 |
| dxy (t) | 2.401 | -4.7 | 0 |
| tot_gap (t) | -0.000 | +2.3 | 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 | 0.044 |
| nominal_deficit | → | primary_balance | t | +0.925 | 0.821 |
| nominal_deficit | → | public_debt_gdp | t | -0.726 | -9.764 |
| copper | → | tot | t | -0.692 | -17617.685 |
| primary_balance | → | public_debt_gdp | t | -0.688 | -9.764 |
| primary_balance | → | debt_gap | t | -0.688 | 0.044 |
| copper | → | tot_gap | t | -0.661 | -125.773 |
| debt_gap | → | embi_bra | t | +0.553 | -2.291 |
| public_debt_gdp | → | embi_bra | t | +0.553 | -2.291 |
| tot | → | current_account | t | -0.507 | -0.060 |
| tot_gap | → | current_account | t | -0.441 | -0.060 |
| current_account | → | reserves | t | +0.427 | -0.109 |
| dxy | → | embi_bra | t | +0.415 | -2.291 |
| current_account | → | embi_bra | t | +0.332 | -2.291 |
| tot | → | reserves | t | -0.307 | -0.109 |
| copper | → | embi_bra | t | +0.255 | -2.291 |
| tot_gap | → | primary_balance | t | +0.185 | 0.821 |
| reserves | → | reserves_growth | t | +0.177 | 0.048 |
| tot | → | embi_bra | t | -0.147 | -2.291 |
| tot | → | primary_balance | t | +0.121 | 0.821 |
| tot_gap | → | embi_bra | t | +0.111 | -2.291 |
| current_account | → | reserves_growth | t | -0.086 | 0.048 |
| reserves_growth | → | embi_bra | t | +0.056 | -2.291 |
| us_hy_oas | → | embi_bra | t | -0.045 | -2.291 |
| primary_balance | → | embi_bra | t | -0.030 | -2.291 |
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] · parents: us_hy_oas, dxy, copper, reserves_growth, public_debt_gdp · 182 train / 20 test through 2026-10-31.
| From | To | Lag | β (z) | Child R² | |
|---|---|---|---|---|---|
| us_hy_oas | → | embi_bra | t | +0.477 | 0.585 |
| dxy | → | embi_bra | t | +0.285 | 0.585 |
| reserves_growth | → | embi_bra | t | +0.054 | 0.585 |
| copper | → | embi_bra | t | -0.052 | 0.585 |
| public_debt_gdp | → | embi_bra | t | +0.000 | 0.585 |
| Method | Lags | OOS R² | σ-quintile | Lift vs naive | Naive middle | ±1 bin | 3-class | Sign | RMSE Δ | Edges | Parents |
|---|---|---|---|---|---|---|---|---|---|---|---|
| theory|lags=[0] ← best | [0] | 0.267 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 55.0% | 0.148 | 9 | 5 |
| pc|lags=[0] | [0] | 0.267 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 55.0% | 0.148 | 16 | 5 |
| pc_strict|lags=[0] | [0] | 0.267 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 55.0% | 0.148 | 14 | 5 |
| tan|lags=[0] | [0] | 0.267 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 55.0% | 0.148 | 9 | 5 |
| hybrid|lags=[0] | [0] | 0.267 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 55.0% | 0.148 | 15 | 5 |
| theory|lags=[0, 1] | [0, 1] | 0.245 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 65.0% | 0.150 | 9 | 10 |
| pc|lags=[0, 1] | [0, 1] | 0.245 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 65.0% | 0.150 | 16 | 10 |
| pc_strict|lags=[0, 1] | [0, 1] | 0.245 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 65.0% | 0.150 | 14 | 10 |
| tan|lags=[0, 1] | [0, 1] | 0.245 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 65.0% | 0.150 | 9 | 10 |
| hybrid|lags=[0, 1] | [0, 1] | 0.245 | 55.0% | 0.100 | 45.0% | 90.0% | 65.0% | 65.0% | 0.150 | 15 | 10 |
| theory|lags=[0, 1, 2] | [0, 1, 2] | 0.196 | 50.0% | 0.050 | 45.0% | 90.0% | 65.0% | 65.0% | 0.155 | 9 | 15 |
| pc|lags=[0, 1, 2] | [0, 1, 2] | 0.196 | 50.0% | 0.050 | 45.0% | 90.0% | 65.0% | 65.0% | 0.155 | 16 | 15 |
| pc_strict|lags=[0, 1, 2] | [0, 1, 2] | 0.196 | 50.0% | 0.050 | 45.0% | 90.0% | 65.0% | 65.0% | 0.155 | 14 | 15 |
| tan|lags=[0, 1, 2] | [0, 1, 2] | 0.196 | 50.0% | 0.050 | 45.0% | 90.0% | 65.0% | 65.0% | 0.155 | 9 | 15 |