Abstract

This study examines the information conveyed by sovereign credit default swap (CDS) term structures during externally identified political and geopolitical disturbances and the subsequent association between sovereign risk repricing and macro-financial adjustment. A two-frequency empirical design distinguishes the rapid incorporation of event information into traded credit prices from the slower conditional responses of economic and energy market indicators. Daily observations for the United States, Germany, France, Italy, Spain, and the United Kingdom are matched to fiscal-deadline, geopolitical–energy, and political–fiscal credibility episodes from June 2016 through April 2026. Event-window and lead–lag specifications evaluate the incremental information in maturity-specific CDS movements relative to newspaper-based uncertainty indices and market controls. Monthly models for the United States, Germany, and France summarize the CDS curve with Nelson–Siegel factors and trace the consequences of observed event-specific curve displacements using Functional Vector Autoregressions, supplemented by functional local projections. Unconditional CDS changes offer limited predictive information about newspaper-based uncertainty. During selected events, however, lagged CDS repricing anticipates subsequent uncertainty measures, most consistently for U.S. policy uncertainty in fiscal-deadline and political–fiscal episodes. Monthly responses are generally transitory and differ by event and country. Germany displays relatively persistent reactions to the Ukraine invasion in its broader information system, whereas similarly large French curve displacements do not imply persistent responses in harmonized outcomes. The evidence supports an event-conditional interpretation of sovereign CDS curves as indicators of the timing and maturity composition of priced sovereign risk, without identifying their movements as autonomous causal geopolitical shocks.