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

Table 9

Better-than-expected CPI news impact event study results.

All countries	Better-than-expected CPI news
Test/event window	Caasc	t-test	Adjusted Patell test	BMP test	Generalized sign test	Skewed-adjusted test	Bootstrap value
[−20; 20]	−857 bps	−1.10	0.02	0.05	3.38	2.16	0.04
[−1; 1]	+324 bps	1.54	2.33	2.10	3.94	4.08	0.00
[0; 0]	+20 bps	0.17	0.74	0.55	0.68	1.38	0.19

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