Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Table 1

Descriptive statistics for the CDS relative spread changes.

Country/stat.	Mean	Maximum	Minimum	Std. dev.	Skewness	Kurtosis	Observations
Australia	51.5334	185.0000	25.0000	22.9668	2.3237	10.2637	1935
Brazil	185.7271	500.7400	90.9200	93.2134	1.5661	4.5322	1935
China	95.4965	259.5000	52.0000	32.2197	1.9379	8.2059	1935
Colombia	152.1739	499.1804	73.8500	68.8704	2.1985	8.9345	1935
France	50.8484	171.5600	14.0060	33.0462	1.3910	4.2849	1935
Germany	25.2047	92.5000	6.6400	16.8817	1.1769	4.0890	1935
Greece	2904.0200	26466.1700	102.9000	4565.8880	2.9355	12.5862	1935
Indonesia	203.7914	700.0000	124.7800	96.2232	3.2830	14.6363	1935
Italy	166.5527	498.6599	48.0000	102.1450	1.4038	4.1151	1935
Mexico	135.9627	491.6130	64.1700	60.8877	2.8531	13.1588	1935
Philippines	142.9045	485.0000	80.4000	64.6305	2.5458	10.9291	1935
Portugal	359.4365	1521.4500	37.0000	321.3420	1.4492	4.0329	1935
Russia	227.9381	793.2000	105.7100	122.1865	2.2847	9.3000	1935
Spain	160.7141	492.0698	45.4200	101.5039	0.9712	3.1203	1935
Turkey	196.7231	515.1567	99.9160	62.7601	1.8561	8.7117	1935
UK	47.9505	165.0000	11.6600	27.3410	1.1637	4.9223	1935
Ukraine	1231.7000	8943.8200	409.1700	987.3895	2.4701	10.4437	1935
Venezuela	2041.5590	10995.6700	571.4189	1953.1060	1.7593	5.0619	1935