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

Table 16

Impact of worse-than-expected news on EMEA countries.

EMEA	Worse-than-expected news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−191 bps	−0.26	0.15	0.29	4.44	2.21	0.03
[−1; 1]	−352 bps	−1.80	−1.43	−1.84	−1.31	1.67	0.12
[0; 0]	−74 bps	−0.65	0.87	−0.94	−2.61	1.84	0.09

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