Paraguay EMBI directed graphs

Monthly — is the current spread priced?

fair

Paraguay EMBI is fairly priced at 114 bp (fair 117 bp).

The EMBI tightened 14 bp over the last 6 months (129 → 115 bp). Last month it widened another 8 bp. Last month’s move was led by US high-yield spreads (+18 bp, wider); USD broad (+9 bp, wider); the terms-of-trade gap (-2 bp, tighter). Versus the graph fair-value, the print is in line with the macros.

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

Current EMBI	114 bp (2026-10-15)
Macro fair value	117 bp (month-end 2026-09-30)
Rich / cheap	fair
Gap (current − fair)	-3 bp (-0.228σ)
Month-end residual	-2 bp
Residual σ	13 bp
In-sample R²	0.925

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	+17.9	0
dxy (t)	2.401	+9.2	0
tot_gap (t)	0.001	-2.1	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	-2.153
dxy	→	fx	t	+0.906	-15.145
nominal_deficit	→	primary_balance	t	+0.887	0.714
us_hy_oas	→	embi_bra	t	+0.853	-3.353
fx	→	reer	t	-0.785	-862.311
tot	→	primary_balance	t	-0.760	0.714
reer	→	reer_gap	t	+0.719	-0.006
nominal_deficit	→	public_debt_gdp	t	-0.669	-0.071
primary_balance	→	debt_gap	t	-0.650	-2.153
primary_balance	→	public_debt_gdp	t	-0.650	-0.071
tot_gap	→	primary_balance	t	-0.647	0.714
dxy	→	reer	t	-0.644	-862.311
copper	→	fx	t	+0.550	-15.145
copper	→	embi_bra	t	-0.496	-3.353
us_hy_oas	→	fx	t	-0.478	-15.145
vix	→	embi_bra	t	+0.429	-3.353
copper	→	tot	t	+0.407	-3963.345
us_hy_oas	→	reer	t	+0.405	-862.311
oil	→	primary_balance	t	-0.405	0.714
tot_gap	→	embi_bra	t	+0.403	-3.353
debt_gap	→	embi_bra	t	-0.371	-3.353
public_debt_gdp	→	embi_bra	t	-0.371	-3.353
tot	→	exports_growth	t	+0.369	-13.880
tot	→	fx	t	+0.355	-15.145
tot	→	reer	t	-0.353	-862.311
reer	→	embi_bra	t	+0.344	-3.353
oil	→	embi_bra	t	-0.330	-3.353
vix	→	fx	t	+0.327	-15.145
fx	→	embi_bra	t	-0.318	-3.353
current_account	→	embi_bra	t	-0.266	-3.353
dxy	→	reer_gap	t	+0.215	-0.006
cpi	→	fx	t	+0.198	-15.145
oil	→	exports_growth	t	+0.184	-13.880
copper	→	exports_growth	t	+0.179	-13.880
tot	→	embi_bra	t	+0.160	-3.353
oil	→	reer	t	+0.127	-862.311
dxy	→	embi_bra	t	-0.126	-3.353
copper	→	tot_gap	t	+0.125	-0.499
oil	→	fx	t	-0.112	-15.145
current_account	→	fx	t	+0.109	-15.145
reer_gap	→	embi_bra	t	+0.092	-3.353
tot	→	reer_gap	t	-0.092	-0.006
tot_gap	→	reer	t	-0.091	-862.311
primary_balance	→	embi_bra	t	+0.074	-3.353
exports_growth	→	current_account	t	+0.071	0.006
oil	→	tot	t	+0.065	-3963.345
us_hy_oas	→	reer_gap	t	-0.042	-0.006
tot_gap	→	current_account	t	-0.035	0.006
fx	→	reer_gap	t	+0.028	-0.006
tot	→	current_account	t	+0.018	0.006
oil	→	tot_gap	t	-0.008	-0.499
tot_gap	→	fx	t	-0.005	-15.145

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, 2] · parents: us_hy_oas, dxy, oil, reer, public_debt_gdp · 145 train / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.425	0.567
dxy	→	embi_bra	t	+0.203	0.567
public_debt_gdp	→	embi_bra	t−1	-0.097	0.567
public_debt_gdp	→	embi_bra	t−2	+0.093	0.567
reer	→	embi_bra	t	+0.074	0.567
reer	→	embi_bra	t−1	+0.067	0.567
oil	→	embi_bra	t	-0.066	0.567
us_hy_oas	→	embi_bra	t−1	+0.057	0.567
us_hy_oas	→	embi_bra	t−2	+0.045	0.567
dxy	→	embi_bra	t−1	+0.040	0.567
dxy	→	embi_bra	t−2	-0.032	0.567
oil	→	embi_bra	t−1	+0.026	0.567
oil	→	embi_bra	t−2	-0.025	0.567
public_debt_gdp	→	embi_bra	t	-0.020	0.567
reer	→	embi_bra	t−2	+0.000	0.567

Method	Lags	OOS R²	σ-quintile	Lift vs naive	Naive middle	±1 bin	3-class	Sign	RMSE Δ	Edges	Parents
theory\|lags=[0, 1, 2] ← best	[0, 1, 2]	0.184	35.0%	-0.100	45.0%	90.0%	50.0%	65.0%	0.111	17	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	0.184	35.0%	-0.100	45.0%	90.0%	50.0%	65.0%	0.111	22	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	0.184	35.0%	-0.100	45.0%	90.0%	50.0%	65.0%	0.111	20	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	0.184	35.0%	-0.100	45.0%	90.0%	50.0%	65.0%	0.111	11	15
hybrid\|lags=[0, 1, 2]	[0, 1, 2]	0.184	35.0%	-0.100	45.0%	90.0%	50.0%	65.0%	0.111	23	15
theory\|lags=[0, 1]	[0, 1]	-0.021	25.0%	-0.200	45.0%	90.0%	40.0%	45.0%	0.124	17	10
pc\|lags=[0, 1]	[0, 1]	-0.021	25.0%	-0.200	45.0%	90.0%	40.0%	45.0%	0.124	22	10
pc_strict\|lags=[0, 1]	[0, 1]	-0.021	25.0%	-0.200	45.0%	90.0%	40.0%	45.0%	0.124	20	10
tan\|lags=[0, 1]	[0, 1]	-0.021	25.0%	-0.200	45.0%	90.0%	40.0%	45.0%	0.124	11	10
hybrid\|lags=[0, 1]	[0, 1]	-0.021	25.0%	-0.200	45.0%	90.0%	40.0%	45.0%	0.124	23	10
theory\|lags=[0]	[0]	-0.071	30.0%	-0.150	45.0%	90.0%	45.0%	50.0%	0.127	17	5
pc\|lags=[0]	[0]	-0.071	30.0%	-0.150	45.0%	90.0%	45.0%	50.0%	0.127	22	5
pc_strict\|lags=[0]	[0]	-0.071	30.0%	-0.150	45.0%	90.0%	45.0%	50.0%	0.127	20	5
tan\|lags=[0]	[0]	-0.071	30.0%	-0.150	45.0%	90.0%	45.0%	50.0%	0.127	11	5