Uruguay EMBI directed graphs

Monthly — is the current spread priced?

cheap

Uruguay EMBI looks cheap at 77 bp vs fair 67 bp (+9 bp wide).

The EMBI was little changed over the last 6 months (78 → 78 bp). Last month it widened another 12 bp. Last month’s move was led by US high-yield spreads (+7 bp, wider); USD broad (+3 bp, wider). It looks cheap because the market print (77 bp) is wider than macro fair value (67 bp, gap +9 bp).

USD broad increased, which put upward pressure on the local exchange rate, which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.
Oil increased, which put downward pressure on the terms-of-trade gap, which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.
The VIX widened, which put upward pressure on the local exchange rate, which typically tightens the EMBI spread. That does not appear to have been incorporated into the current spread.

Current EMBI	77 bp (2026-10-15)
Macro fair value	67 bp (month-end 2026-09-30)
Rich / cheap	cheap
Gap (current − fair)	+9 bp (1.204σ)
Month-end residual	+11 bp
Residual σ	8 bp
In-sample R²	0.809

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	+7.4	0
dxy (t)	2.401	+3.5	0
tot_gap (t)	0.000	-1.4	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	-0.045
dxy	→	fx	t	+0.899	-3.834
reer	→	reer_gap	t	+0.826	0.011
tot	→	fx	t	+0.756	-3.834
oil	→	tot	t	-0.748	-8914.082
us_hy_oas	→	embi_bra	t	+0.728	-11.317
dxy	→	reer	t	+0.704	-112.631
copper	→	embi_bra	t	-0.672	-11.317
tot_gap	→	embi_bra	t	+0.667	-11.317
us_hy_oas	→	reer	t	-0.647	-112.631
oil	→	tot_gap	t	-0.632	-77.753
reer	→	embi_bra	t	-0.624	-11.317
copper	→	tot_gap	t	-0.617	-77.753
reserves	→	fx	t	+0.598	-3.834
nominal_deficit	→	primary_balance	t	+0.578	-0.015
us_hy_oas	→	fx	t	-0.562	-3.834
copper	→	exports_growth	t	+0.546	-1.111
fx	→	reer	t	+0.528	-112.631
tot_gap	→	reer	t	-0.495	-112.631
tot	→	reserves	t	+0.482	-72.535
fx	→	embi_bra	t	-0.469	-11.317
tot_gap	→	current_account	t	-0.441	0.196
primary_balance	→	embi_bra	t	+0.426	-11.317
oil	→	fx	t	-0.400	-3.834
oil	→	exports_growth	t	+0.381	-1.111
reer_gap	→	embi_bra	t	-0.379	-11.317
tot	→	primary_balance	t	-0.376	-0.015
current_account	→	fx	t	+0.361	-3.834
dxy	→	embi_bra	t	-0.354	-11.317
oil	→	embi_bra	t	-0.328	-11.317
tot	→	reer_gap	t	-0.306	0.011
nominal_deficit	→	public_debt_gdp	t	-0.306	-358.836
tot	→	reer	t	+0.296	-112.631
oil	→	reserves	t	-0.276	-72.535
us_hy_oas	→	reer_gap	t	-0.264	0.011
exports_growth	→	current_account	t	+0.255	0.196
vix	→	embi_bra	t	+0.237	-11.317
copper	→	tot	t	-0.232	-8914.082
current_account	→	reserves	t	-0.221	-72.535
reserves_growth	→	embi_bra	t	-0.196	-11.317
current_account	→	embi_bra	t	-0.194	-11.317
tot_gap	→	fx	t	-0.189	-3.834
tot	→	exports_growth	t	-0.188	-1.111
copper	→	fx	t	+0.184	-3.834
fx	→	reer_gap	t	-0.182	0.011
vix	→	fx	t	+0.179	-3.834
dxy	→	reer_gap	t	+0.131	0.011
debt_gap	→	embi_bra	t	+0.115	-11.317
public_debt_gdp	→	embi_bra	t	+0.115	-11.317
tot_gap	→	primary_balance	t	+0.109	-0.015
cpi	→	fx	t	-0.096	-3.834
oil	→	primary_balance	t	-0.090	-0.015
tot	→	embi_bra	t	-0.074	-11.317
primary_balance	→	public_debt_gdp	t	-0.073	-358.836
primary_balance	→	debt_gap	t	-0.073	-0.045
oil	→	reer	t	-0.065	-112.631
tot	→	current_account	t	+0.049	0.196
current_account	→	reserves_growth	t	-0.043	0.004
reserves	→	reserves_growth	t	-0.040	0.004

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: vix, dxy, oil, fx, primary_balance · 182 train / 20 test through 2026-10-31.

From		To	Lag	β (z)	Child R²
vix	→	embi_bra	t	+0.345	0.563
vix	→	embi_bra	t−1	+0.266	0.563
dxy	→	embi_bra	t	+0.222	0.563
primary_balance	→	embi_bra	t	+0.155	0.563
primary_balance	→	embi_bra	t−1	-0.109	0.563
oil	→	embi_bra	t	-0.090	0.563
fx	→	embi_bra	t	+0.079	0.563
dxy	→	embi_bra	t−1	+0.067	0.563
oil	→	embi_bra	t−2	-0.059	0.563
fx	→	embi_bra	t−2	+0.057	0.563
dxy	→	embi_bra	t−2	-0.047	0.563
primary_balance	→	embi_bra	t−2	-0.039	0.563
vix	→	embi_bra	t−2	+0.033	0.563
fx	→	embi_bra	t−1	+0.032	0.563
oil	→	embi_bra	t−1	+0.010	0.563

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]	-0.115	45.0%	-0.150	60.0%	95.0%	50.0%	65.0%	0.074	18	15
pc\|lags=[0, 1, 2]	[0, 1, 2]	-0.115	45.0%	-0.150	60.0%	95.0%	50.0%	65.0%	0.074	30	15
pc_strict\|lags=[0, 1, 2]	[0, 1, 2]	-0.115	45.0%	-0.150	60.0%	95.0%	50.0%	65.0%	0.074	26	15
tan\|lags=[0, 1, 2]	[0, 1, 2]	-0.115	45.0%	-0.150	60.0%	95.0%	50.0%	65.0%	0.074	8	15
hybrid\|lags=[0, 1, 2]	[0, 1, 2]	-0.115	45.0%	-0.150	60.0%	95.0%	50.0%	65.0%	0.074	29	15
theory\|lags=[1, 3]	[1, 3]	-0.121	50.0%	-0.100	60.0%	95.0%	50.0%	55.0%	0.074	18	10
pc\|lags=[1, 3]	[1, 3]	-0.121	50.0%	-0.100	60.0%	95.0%	50.0%	55.0%	0.074	30	10
pc_strict\|lags=[1, 3]	[1, 3]	-0.121	50.0%	-0.100	60.0%	95.0%	50.0%	55.0%	0.074	26	10
tan\|lags=[1, 3]	[1, 3]	-0.121	50.0%	-0.100	60.0%	95.0%	50.0%	55.0%	0.074	8	10
hybrid\|lags=[1, 3]	[1, 3]	-0.121	50.0%	-0.100	60.0%	95.0%	50.0%	55.0%	0.074	29	10
theory\|lags=[1]	[1]	-0.121	55.0%	-0.050	60.0%	95.0%	55.0%	65.0%	0.074	18	5
pc\|lags=[1]	[1]	-0.121	55.0%	-0.050	60.0%	95.0%	55.0%	65.0%	0.074	30	5
pc_strict\|lags=[1]	[1]	-0.121	55.0%	-0.050	60.0%	95.0%	55.0%	65.0%	0.074	26	5
tan\|lags=[1]	[1]	-0.121	55.0%	-0.050	60.0%	95.0%	55.0%	65.0%	0.074	8	5