Panama EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	121 bp (2026-09-02)
Macro fair value	134 bp (month-end 2026-08-31)
Rich / cheap	rich
Gap (current − fair)	-13 bp (-0.518σ)
Month-end residual	-15 bp
Residual σ	25 bp
In-sample R²	0.827

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	-8.6	0
tot_gap (t)	-0.000	+2.3	45
dxy (t)	-0.956	+0.8	0
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	0.044
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	-0.051	-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 / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.482	0.586
dxy	→	embi_bra	t	+0.276	0.586
reserves_growth	→	embi_bra	t	+0.059	0.586
copper	→	embi_bra	t	-0.044	0.586
public_debt_gdp	→	embi_bra	t	+0.000	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] ← best	[0]	0.242	52.6%	0.053	47.4%	89.5%	68.4%	57.9%	0.149	9	5
pc|lags=[0]	[0]	0.242	52.6%	0.053	47.4%	89.5%	68.4%	57.9%	0.149	16	5
pc_strict|lags=[0]	[0]	0.242	52.6%	0.053	47.4%	89.5%	68.4%	57.9%	0.149	14	5
tan|lags=[0]	[0]	0.242	52.6%	0.053	47.4%	89.5%	68.4%	57.9%	0.149	9	5
hybrid|lags=[0]	[0]	0.242	52.6%	0.053	47.4%	89.5%	68.4%	57.9%	0.149	15	5
theory|lags=[0, 1]	[0, 1]	0.208	52.6%	0.053	47.4%	89.5%	68.4%	68.4%	0.152	9	10
pc|lags=[0, 1]	[0, 1]	0.208	52.6%	0.053	47.4%	89.5%	68.4%	68.4%	0.152	16	10
pc_strict|lags=[0, 1]	[0, 1]	0.208	52.6%	0.053	47.4%	89.5%	68.4%	68.4%	0.152	14	10
tan|lags=[0, 1]	[0, 1]	0.208	52.6%	0.053	47.4%	89.5%	68.4%	68.4%	0.152	9	10
hybrid|lags=[0, 1]	[0, 1]	0.208	52.6%	0.053	47.4%	89.5%	68.4%	68.4%	0.152	15	10
theory|lags=[0, 1, 2]	[0, 1, 2]	0.146	42.1%	-0.053	47.4%	89.5%	57.9%	73.7%	0.158	9	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.146	42.1%	-0.053	47.4%	89.5%	57.9%	73.7%	0.158	16	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.146	42.1%	-0.053	47.4%	89.5%	57.9%	73.7%	0.158	14	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.146	42.1%	-0.053	47.4%	89.5%	57.9%	73.7%	0.158	9	15