Paraguay EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	107 bp (2026-09-02)
Macro fair value	97 bp (month-end 2026-08-31)
Rich / cheap	cheap
Gap (current − fair)	+10 bp (0.621σ)
Month-end residual	+9 bp
Residual σ	16 bp
In-sample R²	0.907

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	-8.4	0
dxy (t)	-0.956	-5.0	0
tot_gap (t)	0.001	+0.8	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	-2.153
dxy	→	fx	t	+0.906	-15.145
nominal_deficit	→	primary_balance	t	+0.887	0.714
us_hy_oas	→	embi_bra	t	+0.856	-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	-0.480	-15.145
vix	→	embi_bra	t	+0.429	-3.353
copper	→	tot	t	+0.407	-3963.345
us_hy_oas	→	reer	t	+0.406	-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 / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.426	0.572
dxy	→	embi_bra	t	+0.191	0.572
public_debt_gdp	→	embi_bra	t−2	+0.096	0.572
public_debt_gdp	→	embi_bra	t−1	-0.092	0.572
oil	→	embi_bra	t	-0.079	0.572
reer	→	embi_bra	t−1	+0.073	0.572
reer	→	embi_bra	t	+0.063	0.572
us_hy_oas	→	embi_bra	t−2	+0.061	0.572
dxy	→	embi_bra	t−1	+0.045	0.572
oil	→	embi_bra	t−2	-0.035	0.572
public_debt_gdp	→	embi_bra	t	-0.031	0.572
oil	→	embi_bra	t−1	+0.030	0.572
dxy	→	embi_bra	t−2	-0.026	0.572
reer	→	embi_bra	t−2	-0.004	0.572
us_hy_oas	→	embi_bra	t−1	-0.003	0.572

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]	0.179	26.3%	-0.211	47.4%	89.5%	42.1%	63.2%	0.112	17	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.179	26.3%	-0.211	47.4%	89.5%	42.1%	63.2%	0.112	22	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.179	26.3%	-0.211	47.4%	89.5%	42.1%	63.2%	0.112	20	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.179	26.3%	-0.211	47.4%	89.5%	42.1%	63.2%	0.112	11	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	0.179	26.3%	-0.211	47.4%	89.5%	42.1%	63.2%	0.112	23	15
theory|lags=[0]	[0]	0.059	31.6%	-0.158	47.4%	89.5%	42.1%	52.6%	0.120	17	5
pc|lags=[0]	[0]	0.059	31.6%	-0.158	47.4%	89.5%	42.1%	52.6%	0.120	22	5
pc_strict|lags=[0]	[0]	0.059	31.6%	-0.158	47.4%	89.5%	42.1%	52.6%	0.120	20	5
tan|lags=[0]	[0]	0.059	31.6%	-0.158	47.4%	89.5%	42.1%	52.6%	0.120	11	5
hybrid|lags=[0]	[0]	0.059	31.6%	-0.158	47.4%	89.5%	42.1%	52.6%	0.120	23	5
theory|lags=[0, 1]	[0, 1]	0.047	36.8%	-0.105	47.4%	94.7%	47.4%	42.1%	0.121	17	10
pc|lags=[0, 1]	[0, 1]	0.047	36.8%	-0.105	47.4%	94.7%	47.4%	42.1%	0.121	22	10
pc_strict|lags=[0, 1]	[0, 1]	0.047	36.8%	-0.105	47.4%	94.7%	47.4%	42.1%	0.121	20	10
tan|lags=[0, 1]	[0, 1]	0.047	36.8%	-0.105	47.4%	94.7%	47.4%	42.1%	0.121	11	10