Research Article

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

Table 2

Number of announcements for each EMEA country.

Europe, Middle East, and Africa
VariableFrequencyN. eventsVariableFrequencyN. events

FranceRussia
GDP YoYQuarterly25 (4, 6, 15)GDP YoYQuarterly7 (3, 0, 4)
CPI YoYQuarterly82 (38, 17, 27)CPI YoYQuarterly72 (15, 8, 49)
URMonthly25 (11, 6, 8)URMonthly75 (30, 10, 35)
CSMonthly146 (61, 49, 36)CSMonthly0 (0, 0, 0)

GermanySpain
GDP YoYQuarterly26 (0, 0, 26)GDP YoYQuarterly24 (4, 4, 16)
CPI YoYQuarterly78 (1, 11, 66)CPI YoYQuarterly77 (2, 14, 61)
URMonthly78 (23, 8, 47)URMonthly26 (6, 7, 13)
CSMonthly178 (60, 47, 71)CSMonthly0 (0, 0, 0)

GreeceTurkey
GDP YoYQuarterly2 (1, 1, 0)GDP YoYQuarterly25 (13, 5, 7)
CPI YoYQuarterly12 (3, 5, 4)CPI YoYQuarterly77 (23, 28, 26)
URMonthly48 (16, 9, 23)URMonthly51 (18, 15, 18)
CSMonthly0 (0, 0, 0)CSMonthly7 (3, 1, 3)

ItalyUnited Kingdom
GDP YoYQuarterly26 (8, 12, 6)GDP YoYQuarterly77 (17, 31, 29)
CPI YoYQuarterly76 (12, 14, 50)CPI YoYQuarterly77 (25, 23, 29)
URMonthly25 (10, 5, 10)URMonthly77 (29, 16, 32)
CSMonthly168 (59, 43, 66)CSMonthly89 (26, 27, 36)

PortugalUkraine
GDP YoYQuarterly22 (7, 6, 9)GDP YoYQuarterly0 (0, 0, 0)
CPI YoYQuarterly46 (15, 11, 20)CPI YoYQuarterly75 (11, 14, 50)
URMonthly0 (0, 0, 0)URMonthly0 (0, 0, 0)
CSMonthly0 (0, 0, 0)CSMonthly0 (0, 0, 0)

This table shows the macroeconomic fundamentals announcements for each EMEA country from June 1, 2009, to June 1, 2016. We report the name of the variable, the frequency of the announcement, and the number of events. In the brackets, we express the number of better-than-expected news announcements, the number of worse-than-expected news announcements, and the announcements correctly anticipated by the market consensus.