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

Table 11

Better-than-expected UR news impact event study results.

All countries	Better-than-expected UR news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−903 bps	−1.11	−0.43	−0.80	2.20	1.49	0.16
[−1; 1]	−204 bps	−0.93	−0.49	−0.55	−1.21	0.97	0.38
[0; 0]	+26 bps	0.21	0.57	0.60	0.36	2.03	0.07

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