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

Table 17

Impact of better-than-expected news on American countries.

Americas	Better-than-expected news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	+70 bps	0.54	2.64	1.74	−1.10	1.91	0.09
[−1; 1]	+54 bps	1.52	1.91	1.55	0.12	1.80	0.07
[0; 0]	+26 bps	1.27	1.35	1.00	−0.29	1.08	0.30

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