COMOVIMENTOS ENTRE SETORES ECONÔMICOS BRASILEIROS: UMA ABORDAGEM NÃO LINEAR

The study of co-movement between assets is very popular in finance. However, applications of nonlinear models occupy little space in this range of research. Accordingly, the present work studies long-term relationships among the sectors of Electric Energy, Consumer, Real Estate, Telecommunications, Industrial and Financial, through linear and nonlinear co-integration models. Are used daily prices of BM&F/Bovespa’s sector indexes cover the period of January 2, 2008 to December 31, 2011, totaling 989 observations. The results indicate that only the relationships between Energy and Finance and Consumer and Finance have long-run equilibrium. Moreover, the nonlinear model had better fit to relationships, with changes in price transmission in different regimes.