Medidas regulatórias, volatilidade e contágio: Um estudo dos casos da energia elétrica e das telecomunicações no Brasil

Arbeitspapier

This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market. Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two relevant and unexpected measures taken by Brazilian regulatory authorities in 2012 on the market volatility of both sectors and their covariance. We also adopt the volatility impulse response function (VIRF) developed by Hafner e Herwartz (2006) to estimate their persistence. Results indicate that the effects of the telecommunications' regulatory intervention are negligible, but the impact of the electricity's regulatory measure is significant, long-lasting and contagious.

Object Details

• Language: Portugiesisch

References and Relationships

• Bibliographic citation: Series: Texto para Discussão ; No. 2127

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Electric Utilities ; Telecommunications ; Industry Studies: Utilities and Transportation: Government Policy
• Subject: regulatory risk ; volatility ; contagion ; electricity ; telecommunications

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): de Bragança, Gabriel G. Fiuza ; Pessoa, Marcelo de Sales ; Rocha, Katia
• Event: Veröffentlichung
• (who): Instituto de Pesquisa Econômica Aplicada (IPEA)
• (where): Brasília
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/121695
• Last update: 10.03.2025, 11:42 AM CET