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

Table 12

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

All countries	Worse-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]	−539 bps	−0.52	0.20	0.38	2.74	1.46	0.16
[−1; 1]	−133 bps	−0.47	−0.43	−0.51	0.37	1.96	0.09
[0; 0]	−55 bps	−0.34	−0.77	−0.90	0.37	1.02	0.42

The symbols , , and correspond, respectively, to a significance level of 1%, 5%, and 10%.