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 spreads) decreased (increased) more substantially for firms characterized by high energy intensity and carbon emission intensity. We then present a method, based on a VAR model, to produce forecasts of firms’ CDS spreads conditional on a 1 or 3-month stress period of high electricity prices and we document a non-negligible increase in the number of firms with a CDS-implied non-investment rating.

中文翻译：

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乌克兰战争对能源价格的影响：对公司财务业绩的影响

我们分析了乌克兰战争对能源价格的冲击对 Eurostoxx 600 指数中主要欧洲公司财务业绩的影响。我们发现，对于以高能源强度和碳排放强度为特征的公司，股票回报率（CDS 利差）下降（增加）的幅度更大。然后，我们提出了一种基于 VAR 模型的方法，以在 1 个月或 3 个月的高电价压力期为条件生成公司 CDS 利差的预测，并且我们记录了具有 CDS 的公司数量的不可忽略的增长-隐含的非投资评级。