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

Table 18

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

Americas	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]	+341 bps	2.49	4.37	3.39	2.64	4.34	0.00
[−1; 1]	+33 bps	0.89	1.53	1.36	2.23	1.00	0.32
[0; 0]	+13 bps	0.63	1.61	1.47	0.98	0.60	0.54

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