Uruguay EMBI directed graphs

Monthly — is the current spread priced?

Current EMBI	68 bp (2026-09-02)
Macro fair value	55 bp (month-end 2026-08-31)
Rich / cheap	very_cheap
Gap (current − fair)	+14 bp (1.653σ)
Month-end residual	+11 bp
Residual σ	8 bp
In-sample R²	0.838

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	-3.9	0
dxy (t)	-0.956	-1.8	0
tot_gap (t)	0.000	-1.6	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	-0.045
dxy	→	fx	t	+0.899	-3.834
reer	→	reer_gap	t	+0.826	-82.112
tot	→	fx	t	+0.756	-3.834
oil	→	tot	t	-0.748	-8914.082
us_hy_oas	→	embi_bra	t	+0.730	-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	-0.649	-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	-0.563	-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	-82.112
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	-0.265	-82.112
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	-82.112
vix	→	fx	t	+0.179	-3.834
dxy	→	reer_gap	t	+0.131	-82.112
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: us_hy_oas, dxy, oil, fx, primary_balance · 182 train / 19 test through 2026-09-30.

From		To	Lag	β (z)	Child R²
us_hy_oas	→	embi_bra	t	+0.446	0.517
dxy	→	embi_bra	t	+0.210	0.517
primary_balance	→	embi_bra	t−1	-0.128	0.517
us_hy_oas	→	embi_bra	t−2	+0.119	0.517
dxy	→	embi_bra	t−2	-0.083	0.517
primary_balance	→	embi_bra	t	+0.077	0.517
oil	→	embi_bra	t	-0.071	0.517
fx	→	embi_bra	t−2	+0.067	0.517
oil	→	embi_bra	t−2	-0.064	0.517
dxy	→	embi_bra	t−1	+0.060	0.517
fx	→	embi_bra	t−1	+0.034	0.517
oil	→	embi_bra	t−1	-0.028	0.517
primary_balance	→	embi_bra	t−2	+0.018	0.517
us_hy_oas	→	embi_bra	t−1	+0.014	0.517
fx	→	embi_bra	t	+0.006	0.517

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]	0.145	57.9%	-0.053	63.2%	100.0%	57.9%	73.7%	0.060	18	15
pc|lags=[0, 1, 2]	[0, 1, 2]	0.145	57.9%	-0.053	63.2%	100.0%	57.9%	73.7%	0.060	30	15
pc_strict|lags=[0, 1, 2]	[0, 1, 2]	0.145	57.9%	-0.053	63.2%	100.0%	57.9%	73.7%	0.060	26	15
tan|lags=[0, 1, 2]	[0, 1, 2]	0.145	57.9%	-0.053	63.2%	100.0%	57.9%	73.7%	0.060	8	15
hybrid|lags=[0, 1, 2]	[0, 1, 2]	0.145	57.9%	-0.053	63.2%	100.0%	57.9%	73.7%	0.060	29	15
theory|lags=[1]	[1]	-0.059	57.9%	-0.053	63.2%	94.7%	57.9%	63.2%	0.067	18	5
pc|lags=[1]	[1]	-0.059	57.9%	-0.053	63.2%	94.7%	57.9%	63.2%	0.067	30	5
pc_strict|lags=[1]	[1]	-0.059	57.9%	-0.053	63.2%	94.7%	57.9%	63.2%	0.067	26	5
tan|lags=[1]	[1]	-0.059	57.9%	-0.053	63.2%	94.7%	57.9%	63.2%	0.067	8	5
hybrid|lags=[1]	[1]	-0.059	57.9%	-0.053	63.2%	94.7%	57.9%	63.2%	0.067	29	5
theory|lags=[1, 3]	[1, 3]	-0.079	63.2%	0.000	63.2%	94.7%	63.2%	52.6%	0.067	18	10
pc|lags=[1, 3]	[1, 3]	-0.079	63.2%	0.000	63.2%	94.7%	63.2%	52.6%	0.067	30	10
pc_strict|lags=[1, 3]	[1, 3]	-0.079	63.2%	0.000	63.2%	94.7%	63.2%	52.6%	0.067	26	10
tan|lags=[1, 3]	[1, 3]	-0.079	63.2%	0.000	63.2%	94.7%	63.2%	52.6%	0.067	8	10