Peru EMBI directed graphs

Monthly — is the current spread priced?

rich

Peru EMBI looks rich at 114 bp vs fair 121 bp (-6 bp tight).

The EMBI tightened 25 bp over the last 6 months (139 → 113 bp). Last month it widened another 8 bp. Last month’s move was led by US high-yield spreads (+11 bp, wider); USD broad (+3 bp, wider). It looks rich because the market print (114 bp) is tighter than macro fair value (121 bp, gap -6 bp).

US high-yield spreads widened, which put upward pressure on the local policy–Fed funds gap, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
Fed funds increased, which put upward pressure on the local policy rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.
USD broad increased, which put upward pressure on the local exchange rate, which typically widens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	114 bp (2026-10-15)
Macro fair value	121 bp (month-end 2026-09-30)
Rich / cheap	rich
Gap (current − fair)	-6 bp (-0.556σ)
Month-end residual	-7 bp
Residual σ	11 bp
In-sample R²	0.858

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	+11.1	0
dxy (t)	2.401	+2.8	0
tot_gap (t)	-0.000	-0.1	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	-3.465
reer	→	reer_gap	t	+0.953	-0.002
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	-0.607	-66.927
tot_gap	→	primary_balance	t	-0.596	0.590
reer_gap	→	policy_rate	t	+0.567	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	+0.507	-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	+0.450	-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	-0.002
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	-436.872
tot	→	fx	t	+0.318	-66.927
tot	→	reer	t	-0.311	-436.872
tot_gap	→	embi_bra	t	-0.297	-7.942
tot_gap	→	reer	t	-0.296	-436.872
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	-436.872
tot	→	reer_gap	t	-0.189	-0.002
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 / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.454	0.514
dxy	→	embi_bra	t	+0.238	0.514
oil	→	embi_bra	t	-0.062	0.514
current_account	→	embi_bra	t	+0.048	0.514
fx	→	embi_bra	t	-0.001	0.514

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]	-0.163	40.0%	0.000	40.0%	95.0%	45.0%	65.0%	0.098	20	5
pc\|lags=[0]	[0]	-0.163	40.0%	0.000	40.0%	95.0%	45.0%	65.0%	0.098	45	5
pc_strict\|lags=[0]	[0]	-0.163	40.0%	0.000	40.0%	95.0%	45.0%	65.0%	0.098	42	5
tan\|lags=[0]	[0]	-0.163	40.0%	0.000	40.0%	95.0%	45.0%	65.0%	0.098	17	5
hybrid\|lags=[0]	[0]	-0.163	40.0%	0.000	40.0%	95.0%	45.0%	65.0%	0.098	35	5
theory\|lags=[1]	[1]	-0.188	25.0%	-0.150	40.0%	90.0%	30.0%	45.0%	0.099	20	5
pc\|lags=[1]	[1]	-0.188	25.0%	-0.150	40.0%	90.0%	30.0%	45.0%	0.099	45	5
pc_strict\|lags=[1]	[1]	-0.188	25.0%	-0.150	40.0%	90.0%	30.0%	45.0%	0.099	42	5
tan\|lags=[1]	[1]	-0.188	25.0%	-0.150	40.0%	90.0%	30.0%	45.0%	0.099	17	5
hybrid\|lags=[1]	[1]	-0.188	25.0%	-0.150	40.0%	90.0%	30.0%	45.0%	0.099	35	5
theory\|lags=[0, 1, 2]	[0, 1, 2]	-0.209	40.0%	0.000	40.0%	90.0%	50.0%	60.0%	0.100	20	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	-0.209	40.0%	0.000	40.0%	90.0%	50.0%	60.0%	0.100	45	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	-0.209	40.0%	0.000	40.0%	90.0%	50.0%	60.0%	0.100	42	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	-0.209	40.0%	0.000	40.0%	90.0%	50.0%	60.0%	0.100	17	15