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

Table 4

Impact of better-than-expected news for all countries.

All countries	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]	−398 bps	−0.87	−0.16	−0.32	5.11	3.39	0.00
[−1; 1]	−236 bps	−1.91	−0.84	−0.92	−0.88	2.15	0.046
[0; 0]	−31 bps	−0.43	−0.15	−0.13	−1.50	2.54	0.018

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