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

Table 5

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

All countries	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]	−1053 bps	−2.04	−0.83	−1.57	4.93	3.92	0.00
[−1; 1]	−188 bps	−1.34	−0.88	−0.96	0.71	1.86	0.83
[0; 0]	−228 bps	−2.83	−2.24	−2.13	−2.38	−0.50	0.64

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