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

Table 7

Impact of better-than-expected GDP news.

All countries	Better-than-expected GDP news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−763 bps	−0.68	−0.29	−0.63	1.30	0.33	0.75
[−1; 1]	+73 bps	0.24	0.20	0.20	0.87	1.43	0.18
[0; 0]	+56 bps	0.32	0.46	0.47	−0.19	1.31	0.27