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

Table 8

Impact of worse-than-expected GDP news.

All countries	Worse-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]	−1033 bps	−0.75	−0.60	−1.53	2.51	1.41	0.23
[−1; 1]	+179 bps	0.48	0.94	0.99	0.03	2.09	0.08
[0; 0]	−237 bps	−1.10	−0.92	−1.21	−1.77	−0.55	0.62

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