Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121695
Authors: 
de Bragança, Gabriel G. Fiuza
Pessoa, Marcelo de Sales
Rocha, Katia
Year of Publication: 
2015
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 2127
Abstract (Translated): 
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.
Subjects: 
regulatory risk
volatility
contagion
electricity
telecommunications
JEL: 
G11
G12
C32
L94
L96
L98
Document Type: 
Working Paper

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