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

Table 13

Impact of better-than-expected CS news.

All countries	Better-than-expected CS news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	+446 bps	0.42	0.96	1.80	3.85	2.56	0.01
[−1; 1]	−193 bps	−0.67	−0.35	−0.49	−2.39	2.93	0.01
[2; 20]	+278 bps	0.38	0.84	1.75	4.42	1.71	0.11
[0; 0]	−34 bps	−0.21	−0.65	−0.96	−2.82	1.86	0.31

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