Peru EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	109 bp (2026-09-02)
Macro fair value	108 bp (month-end 2026-08-31)
Rich / cheap	fair
Gap (current − fair)	+1 bp (0.056σ)
Month-end residual	-2 bp
Residual σ	12 bp
In-sample R²	0.856

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	-5.4	0
dxy (t)	-0.956	-1.6	0
tot_gap (t)	-0.000	-0.2	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	-3.465
reer	→	reer_gap	t	+0.953	-499.628
copper	→	tot	t	+0.907	-4950.844
dxy	→	fx	t	+0.905	-66.927
tot_gap	→	current_account	t	+0.826	0.662
nominal_deficit	→	primary_balance	t	+0.823	0.590
reserves	→	fx	t	+0.701	-66.927
tot	→	current_account	t	+0.700	0.662
ust_short	→	policy_rate	t	+0.662	0.656
primary_balance	→	debt_gap	t	-0.649	-3.465
primary_balance	→	public_debt_gdp	t	-0.649	0.044
fed_funds	→	policy_rate	t	+0.648	0.656
current_account	→	fx	t	+0.639	-66.927
current_account	→	reserves	t	+0.624	-43.138
tot_gap	→	fx	t	+0.621	-66.927
nominal_deficit	→	public_debt_gdp	t	-0.618	0.044
copper	→	tot_gap	t	+0.612	-86.609
us_hy_oas	→	fx	t	-0.609	-66.927
tot_gap	→	primary_balance	t	-0.596	0.590
reer_gap	→	policy_rate	t	+0.568	0.656
nominal_deficit	→	policy_rate	t	+0.558	0.656
sp500	→	policy_fed_gap	t	-0.555	-0.601
fx	→	policy_fed_gap	t	-0.541	-0.601
dxy	→	policy_fed_gap	t	-0.533	-0.601
cpi	→	policy_rate	t	+0.510	0.656
us_hy_oas	→	policy_fed_gap	t	+0.509	-0.601
vix	→	embi_bra	t	+0.495	-7.942
tot	→	exports_growth	t	+0.485	0.067
policy_rate	→	policy_fed_gap	t	+0.461	-0.601
us_hy_oas	→	embi_bra	t	+0.451	-7.942
tot	→	primary_balance	t	-0.440	0.590
copper	→	exports_growth	t	+0.435	0.067
reer	→	policy_rate	t	+0.431	0.656
primary_balance	→	policy_rate	t	+0.429	0.656
debt_gap	→	policy_fed_gap	t	-0.418	-0.601
cpi	→	policy_fed_gap	t	+0.408	-0.601
exports_growth	→	current_account	t	+0.408	0.662
fx	→	reer_gap	t	-0.392	-499.628
oil	→	tot	t	+0.386	-4950.844
fed_funds	→	policy_fed_gap	t	-0.378	-0.601
oil	→	fx	t	-0.363	-66.927
policy_fed_gap	→	embi_bra	t	+0.346	-7.942
cpi	→	fx	t	+0.336	-66.927
dxy	→	reer	t	+0.320	-436.661
tot	→	fx	t	+0.318	-66.927
tot	→	reer	t	-0.311	-436.661
tot_gap	→	embi_bra	t	-0.297	-7.942
tot_gap	→	reer	t	-0.296	-436.661
vix	→	policy_rate	t	-0.267	0.656
current_account	→	reserves_growth	t	+0.265	-0.094
tot	→	reserves	t	+0.261	-43.138
current_account	→	embi_bra	t	-0.250	-7.942
reer	→	embi_bra	t	-0.245	-7.942
fed_funds_chg	→	policy_rate	t	+0.243	0.656
sp500	→	policy_rate	t	+0.238	0.656
copper	→	fx	t	+0.224	-66.927
oil	→	reer	t	-0.220	-436.661
tot	→	reer_gap	t	-0.189	-499.628
reserves	→	reserves_growth	t	-0.182	-0.094
dxy	→	policy_rate	t	+0.174	0.656

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

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.479	0.548
dxy	→	embi_bra	t	+0.228	0.548
oil	→	embi_bra	t	-0.076	0.548
current_account	→	embi_bra	t	+0.051	0.548
fx	→	embi_bra	t	-0.020	0.548

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]	-0.059	36.8%	-0.053	42.1%	89.5%	42.1%	63.2%	0.094	20	5
pc|lags=[0]	[0]	-0.059	36.8%	-0.053	42.1%	89.5%	42.1%	63.2%	0.094	45	5
pc_strict|lags=[0]	[0]	-0.059	36.8%	-0.053	42.1%	89.5%	42.1%	63.2%	0.094	42	5
tan|lags=[0]	[0]	-0.059	36.8%	-0.053	42.1%	89.5%	42.1%	63.2%	0.094	17	5
hybrid|lags=[0]	[0]	-0.059	36.8%	-0.053	42.1%	89.5%	42.1%	63.2%	0.094	35	5
theory|lags=[0, 1, 2]	[0, 1, 2]	-0.121	47.4%	0.053	42.1%	89.5%	52.6%	63.2%	0.096	20	15
pc|lags=[0, 1, 2]	[0, 1, 2]	-0.121	47.4%	0.053	42.1%	89.5%	52.6%	63.2%	0.096	45	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	-0.121	47.4%	0.053	42.1%	89.5%	52.6%	63.2%	0.096	42	15
tan|lags=[0, 1, 2]	[0, 1, 2]	-0.121	47.4%	0.053	42.1%	89.5%	52.6%	63.2%	0.096	17	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	-0.121	47.4%	0.053	42.1%	89.5%	52.6%	63.2%	0.096	35	15
theory|lags=[1]	[1]	-0.201	26.3%	-0.158	42.1%	89.5%	31.6%	52.6%	0.100	20	5
pc|lags=[1]	[1]	-0.201	26.3%	-0.158	42.1%	89.5%	31.6%	52.6%	0.100	45	5
pc_strict|lags=[1]	[1]	-0.201	26.3%	-0.158	42.1%	89.5%	31.6%	52.6%	0.100	42	5
tan|lags=[1]	[1]	-0.201	26.3%	-0.158	42.1%	89.5%	31.6%	52.6%	0.100	17	5