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

Table 10

Worse-than-expected CPI news impact event study results.

All countries	Worse-than-expected CPI news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−1448 bps	−1.59	−0.79	−1.65	2.56	1.39	0.16
[−1; 1]	+137 bps	0.55	1.28	1.11	2.56	2.04	0.04
[0; 0]	+9 bps	0.06	0.84	0.64	1.58	1.26	0.21

The symbols and correspond, respectively, to a significance level of 5% and 10%.