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5 0.05 and 10 0.10 The result of t-test can be seen in the following table:
Table 4.16 The Result of t-Test
Variable Coefficient
Std. Error t-Statistic
Prob. C
35.74421 61.98233
0.576684 0.5662 GDPGROWTH?
-2.531825 5.504267
-0.459975 0.6471 INFLATION?
26.14017 7.410467
3.527466 0.0008 UNEMPLOYMENT?
14.37829 4.754548
3.024112 0.0036 IMPORT?
-0.068843 0.551008
-0.124939 0.9010 CAB?
-8.353070 4.278162
-1.952491 0.0553 Note: Significance level at 10
Significance level at 5 Significance level at 1
a. Dependent variable: Credit Default Swap spreads Source: processed data
The result of the t-test can be interpreted as follows:
a GDP Growth
GDP growth variable has the probability of 0.5662. The result shows that the GDP growth variable is not significantly
affect the Credit Default Swap spreads at significance level of 1, 5 or 10. The coefficient of GDP growth variable is
negative, it means that the higher GDP growth leads to the lower Credit Default Swap spread.
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Variable GDP growth is not significantly affect the CDS spreads in Asia and Europe because of impact of the crisis. As
mentioned in the table 4.3 from 2009 until 2010 there were a quite high differences among many countries in term of GDP
growth such as Hong Kong, Malaysia, Italy and Portugal. This condition occur because in 2009 those countries in 2009 were
facing the global financial crisis while, in 2010 they were facing recovery phase.
The result of this research is consistent with the research that had conducted by Tang and Yan 2010 and Brandorf and
Holmberg 2010 where the GDP growth is a variable that is not affecting the Credit Default Swap spreads.
b Inflation
Inflation variable has the probability of 0.0008. The result shows that the inflation variable is significantly affect the
Credit Default Swap spreads at significance level of 1 that is 0.0008 0.01. The coefficient of inflation variable is
positive, it means that the higher inflation leads to the higher Credit Default Swap spreads.
The result of this research is consistent with the research that had conducted by Sand 2012 where the inflation is a
variable that is affecting the Credit Default Swap spreads.
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c Unemployment
Unemployment variable has the probability of 0.0036. The result shows that the unemployment variable is significantly
affect the Credit Default Swap spreads at significance level of 1 that is 0.0036 0.01. The coefficient of unemployment
variable is positive, it means that the higher unemployment leads to the higher Credit Default Swap spreads.
The result of this research is consistent with the research that had conducted by Brandorf and Holmberg 2010 where
the unemployment is a variable that is affecting the Credit Default Swap spreads.
d ImportGDP
ImportGDP variable has the probability of 0.9010. The result shows that the importGDP variable is not significantly
affect the Credit Default Swap spreads at significance level of 1, 5 or 10. The coefficient of importGDP variable is
negative, it means that the higher importGDP leads to the lower Credit Default Swap spreads.
The importGDP variable is not significantly affect the Credit Default Swap spreads because the difference on
importGDP in one country from a year to year tend to be stable. Thus, there are no significant differences among five
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years. This condition may lead this variable to be not significant affect the Credit Default Swap spreads.
The result of this research is inconsistent with the research that had conducted by Sand 2012 where the importGDP is a
variable that is affecting the Credit Default Swap spreads.
e Current Account Balance
Current account balance variable has the probability of 0.0553. The result shows that the current account balance
variable is significantly affect the Credit Default Swap spreads at significance level of 10 that is 0.0553 0.10. The
coefficient of current account balance variable is negative, it means that the higher current account balance leads to the
lower Credit Default Swap spreads. The result of this research is consistent with the researcqqh
that had conducted Ho 2014 where in long-run the current account balance is a variable that is affecting the Credit Default
Swap spreads. Based on the results that have obtained, thus, it can be
concluded that inflation, unemployment, and current account balance variables are partially significant affecting Credit
