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Master's Dissertation
DOI
10.11606/D.12.2018.tde-28112018-151702
Document
Author
Full name
Felipe Sande Cruz Mattos Filgueiras
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2018
Supervisor
Committee
Savoia, Jose Roberto Ferreira (President)
Bergmann, Daniel Reed
Bueno, Rodrigo de Losso da Silveira
Silva, Fabiana Lopes da
Title in Portuguese
Efeito contágio no ambiente regulatório brasileiro: aumento do risco para empresas reguladas após a MP 579/2012
Keywords in Portuguese
Efeito contágio
Finanças
Impacto regulatório
Medida provisória
Regulação
Abstract in Portuguese
O principal objetivo da Medida Provisória (MP) nº 579/2012 foi viabilizar a redução tarifária aos consumidores de energia elétrica no Brasil. Entretanto, a medida trouxe outras consequências ao setor elétrico, entre elas incertezas quanto às regras para renovações de concessões existentes. No presente trabalho, verificou-se o impacto da MP no risco sistêmico do setor elétrico e, também, no risco sistêmico dos demais setores regulados da economia brasileira, mas não afetados diretamente com a medida. Analisou-se o risco sistêmico por meio do beta recursivo desalavancado, considerando-se uma base de 140 empresas listadas na B3 entre janeiro de 2008 a setembro de 2016. A partir da metodologia de controle sintético, criaram-se grupos de controle de modo a captar isoladamente o feito da MP sobre o risco sistêmico das empresas do setor elétrico e demais setores regulados. Os resultados mostram um aumento do risco sistêmico dos setores regulados no Brasil após a publicação da MP 579/2012, sugerindo um efeito contágio do ambiente regulatório do país. Ainda, estima-se que o aumento do risco sistêmico tenha custado mais de R$ 14 bilhões aos consumidores/contribuintes brasileiros, lançando dúvidas sobre o real efeito da MP.
Title in English
Contagion effect in the Brazilian regulatory environment: increased risk for regulated companies after MP 579/2012
Keywords in English
Contagion effect
Finances
Provisional measure
Regulation
Regulatory impact
Abstract in English
The main objective of the Act (PM) n.o 579/2012 was to enable fees reduction to electric power consumers in Brazil. However, it has brought other consequences to the electric power sector, including uncertainties about the rules for renewals of existing concessions. The present work verifies the impact of the PM on the systemic risk of the electric sector and on the systemic risk of the other regulated sectors of the Brazilian economy, but not directly affected with that measure. The analysis of systemic risk uses unleveraged recursive betas, considering a set of 140 companies listed on the B3 between January 2008 and September 2016. Based on the synthetic control methodology, I have created control groups in order to capture the PM effect on the systemic risk of companies in the electricity power sector and other regulated sectors. The results show an increase in the systemic risk of regulated sectors in Brazil after publication of MP 579/2012, suggesting a possible contagion effect of the country's regulatory environment. Moreover, I have estimated that the increase in systemic risk may have cost Brazilian consumers/taxpayers more than R $ 14 billion, casting doubt on the real effect of the PM.
 
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OriginalFelipe.pdf (1.70 Mbytes)
Publishing Date
2018-11-30
 
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