Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 12, 2022 erstellt
Description:
We analyze the impact of the shock to energy prices induced by the war in Ukraine on the financial performance of the major European firms listed in the Eurostoxx 600 index. We find that equity returns (CDS spread) decreased (increased) more substantially for firms characterized by high energy intensity and carbon emission intensity. We then perform a VAR-based exercise to produce forecasts of firms’ CDS spread conditional on the sustained level of electricity prices recorded in July 2022 and we document a sizable increase in the amount of firms with a CDS-implied non-investment rating