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

Table 14

Impact of worse-than-expected CS news.

All countries	Worse-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]	−910 bps	−0.88	−0.25	−0.43	2.38	1.28	0.21
[−1; 1]	−341 bps	−1.22	−1.56	−2.18	−0.69	1.48	0.20
[0; 0]	−234 bps	−1.71	−1.69	−2.57	−2.09	−1.13	0.32

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