Doğal Gaz Piyasasında Fiyat Balonları

Year 2023, Volume: 7 Issue: 1, 277 - 290, 31.01.2023

Berkan Ataş

https://doi.org/10.29023/alanyaakademik.1109469

Abstract

Doğal gaz hem verimliği hem de diğer fosil temelli enerji kaynaklarına göre daha çevreci bir alternatif olması nedeniyle günümüzde en çok kullanılan enerji kaynaklarından biridir. Covid-19 etkilerinin yavaş yavaş hafiflemeye başlaması ile birlikte toparlanan ekonomilerin enerji gereksinimlerinin artmasıyla birlikte gelişen arz talep dengesizlikleri sonucu fiyatlarda yukarı yönlü bir hareket gözlemlenmektedir. Çalışmanın amacı yurtiçi ve uluslararası doğalgaz piyasalarındaki fiyat balonlarını pandemi öncesi yakın dönemi de kapsar şekilde karşılaştırmalı olarak analiz etmektir. Fiyat balonlarının tespiti için Generalised Supremum Augmented Dickey Fuller (GSADF) yöntemi kullanılmıştır. Bulunan sonuçlara göre hem yurtiçi gaz referans fiyatında hem de uluslararası doğal gaz piyasında çok dönemli fiyat balonu bulgularına rastlanmıştır. Bununla birlikte uluslararası ve yurtiçi piyasadaki balonların büyük ölçüde birbirine yakın dönemde gerçekleşmesi yurtiçi fiyat politikalarının uluslararası patlayıcı fiyat değişimlerini sönümlendirmekte yetersiz olduğunu göstermektedir.

Keywords

Doğal Gaz Piyasaları, Fiyat Balonları, GSADF

Price Bubbles in Natural Gas Market

Abstract

Natural gas is one of the most used energy sources today, due to its efficiency and environmentally friendly feature to other fossil-based energy sources. An upward trend is observed in prices as a result of the supply-demand imbalances that have developed with the increase in the energy needs of the recovering economies as the effects of Covid-19 begin to fade. The study aims to investigate the price bubbles in the domestic and international natural gas markets, including the recent period before the pandemic. The Generalized Supremum Augmented Dickey Fuller (GSADF) method is employed to detect price bubbles. The results suggest multi-period price bubbles in both the domestic gas reference price and the international natural gas market. Besides, the fact that the bubble periods in the international and domestic markets are close to each other suggests that domestic price policies are insufficient to dampen international explosive price changes.

Keywords

Natural Gas Markets, Price Bubbles, GSADF

References

• AJMI, A. N., HAMMOUDEH, S., & MOKNI, K. (2021). “Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm”, Resources Policy, 70: 1-6.
• ARORA, V., & LIESKOVSKY, J. (2014). “Natural gas and US economic activity”. The Energy Journal, 35(4), 167–182.
• ASCHE, F., OSMUNDSEN, P., & SANDSMARK, M. (2006). “The UK market for natural gas, oil and electricity: are the prices decoupled?” The Energy Journal, 27(2), 27–40.
• BLANCHARD, O. J., & WATSON, M. W. (1982). “Bubbles, rational expectations and financial markets” NBER Workıng Paper Serıes, 945: 1-30
• BOHL,M.T., KAUFMANN, P., & STEPHAN, P. M. (2013). “From hero to zero: evidence of performance reversal and speculative bubbles in German renewable energy stocks” Energy Economics, 37: 40–51.
• BROWN, S. P., & YÜCEL, M. K., (2008). “What drives natural gas prices?” The Energy Journal, 29(2): 45–60.
• BRUNNERMEIER, M.K. (2016). Bubbles In: Banking Crises. Springer, Almanya . 28–36.
• CAMPBELL, J.Y., & SHILLER, R. (1987). “Cointegration and Tests of Present Value Models”, Journal of Political Economy, 95, 1062–1088.
• CAMPBELL R. B., & TURNOVSKY S. J. (1985). “An analysis of the stabilizing and welfare effects ofintervention in spot and futures markets” National Bureau of Economic Research Working Paper, 1698
• CHIOU-WEI, S.-Z., LINN, S.C., & ZHU, Z. (2014). “The response of US natural gas futures and spot prices to storage change surprises: fundamental information and the effect of escalating physical gas production”. Journal of International Money and Finance. 42, 156–173.
• DING, S., CUI, T., ZHENG, D., & DU, M. (2021) “The effects of commodity financialization on commodity market volatility”, Resources Policy, 73: 1-10.
• EVANS, G.W. (1991). “Pitfalls in testing for explosive bubbles in asset prices”, The American Economic Review, 81 (4), 922–930.
• FIGUEROLA-FERRETTI, I., MCCRORIE, J.R., & PARASKEVOPOULOS, I. (2020). “Mild explosivity in recent crude oil prices”, Energy Economics. 87: 1-25.
• GARBER, P.M. (2000). Famous First Bubbles: The Fundamentals of Early Manias, MIT Press. Cambridge, Massachusetts.
• GHARIB, C., MEFTEH-WALI, S., & JABEUR, S.B. (2021a). “The bubble contagion effect of COVID-19 outbreak: evidence from crude oil and gold markets”, Finance Research Letters. 38: 1-10
• GHARIB, C., MEFTEH-WALI, S., SERRET, V., & JABEUR, S. B. (2021b) “Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach”, Resources Policy, 74: 1-17.
• GRONWALD, M. (2016). “Explosive oil prices”. Energy Economics. 60: 1–5.
• HARTLEY, P.R., MEDLOCK III, K.B., & ROSTHAL, J.E. (2008). “The relationship of natural gas to oil prices” The Energy Journal, 29(3), 47–65.
• HOMMAND, U., & BREITUNG, J. (2012). “Testing for speculative bubbles in stock markets: a comparison of alternative methods”. J. Financ. Econ. 10 (1), 198–231.
• JI, Q., GENG, J.-B., & FAN, Y. (2014). “Separated influence of crude oil prices on regional natural gas import prices”, Energy Policy, 70: 96–105.
• KAUFMANN, R.K. (2011). “The role of market fundamentals and speculation in recent price changes for crude oil” Energy Policy, 39: 105–115.
• KAWAI M. (1983). “Price volatility of storable commodities under rational expectations in spot and futures markets”, International Economic Review, 24(2): 435-459.
• KHAN, K., SU, C. W., & REHMAN, A. U. (2021). Do multiple bubbles exist in coal price? Resources Policy, 73: 1-9.
• KINDLEBERGER, C.P. (1978). Manias, Panics, and Crashes: A History of Financial Crises, Basic Books, New York
• LAMMERDING, M., STEPHAN, P., TREDE, M., & WILFLING, B. (2013). “Speculative bubbles in recent oil price dynamics: evidence from a Bayesian Markov-switching state-space approach”, Energy Economics, 36: 491–502.
• LI, R., WOO, C-K., TISHLER, A., & ZARNIKAU, J. (2022) “How price responsive is industrial demand for natural gas in the United States?”, Utilities Policy, Volume 74
• LI, Y., CHEVALLIER, J., WEI, Y., & LI, J. (2020). “Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach” Energy Economics, 87: 1-9.
• MİŠÍK, M. (2022) “The EU needs to improve its external energy security”, Energy Policy, Volume 165
• NICK, S., & THOENES, S. (2014). “What drives natural gas prices?—a structural VAR approach”, Energy Economics. 45: 517–527.
• NICOLAU,M., & PALOMBA,G. (2015). “Dynamic relationships between spot and futures prices. The case of energy and gold commodities”, Resources Policy, 45: 130–143.
• NOVIKOV, A. V., URAZGALIEV, V. S., & TITKOV M.V. (2021). “Prospects for the Formation of a Global Natural Gas Market: Price Analysis of European, Asian, American Gas Markets” SHS Web of Conferance 92: 1-8.
• PHILLIPS, P. C. B., SHI, S., & YU, J. (2015a). “Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500”, International Economic Review, 56(4), 1043–1078.
• PHILLIPS, P. C. B., SHI, S., & YU, J., (2015b). “Testing for multiple bubbles: limit theory of realtime detectors”. International Economic Review, 56(4): 1079–1134.
• PHILLIPS, P. C. B., WU, Y., & YU, J. (2011). “Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values?” International Economic Review, 52(1): 201–226.
• REGNARD, N., & ZAKOÏAN, J.M. (2011). “A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices”. Energy Economics. 33: 1240–1251.
• SHARMA, S., & ESCOBARI, D. (2018). “Identifying price bubble periods in the energy sector”, Energy Economics. 69: 418–429.
• SILIVERSTOVS, B., L’HÉGARET, G., NEUMANN, A., & VON HIRSCHHAUSEN, C. (2005). “International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan”. Energy Economics. 27 (4): 603–615.
• STIGLITZ, J.E. (1990). “Symposium on bubbles” The Journal of Economic Perspectives, 4(2): 13–18.
• SU, C. W., LI, Z. Z., CHANG, H. L., & LOBONŢ, O. R. (2017). “When will occur the crude oil bubbles?”, Energy Policy, 102: 1–6.
• TESIO, E., CONTI, I., & CERVGNI, G. (2022) “High gas prices in Europe: a matter for policy intervention?” Policy Briefs, 2022/06, DOI: 10.2870/260985
• TSVETANOV, D., COAKLEY, J., & KELLARD, N. (2016). “Bubbling over! The behaviour of oil futures along the yield curve”. Journal of Empirical Finance 38(B): 516–533.
• UMAR, M., SU, C.W., RIZVI, S. K. A., & LOBONŢ, O.R. (2021). “Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices”, Energy, Volume 231: 1-9
• WANG, X., QIU, Y., CHEN, J., & HU, X. (2022) “Evaluating natural gas supply security in China: An exhaustible resource market equilibrium model”, Resources Policy, Volume 76
• WANG, T., ZHANG, D., & BROADSTOCK, D. C. (2019). “Financialization, fundamentals, and the timevarying determinants of US natural gas prices”, Energy Economics. 80: 707–719.
• YANG, H., HAN, X., & WANG, L. (2021) “Is there a bubble in the shale gas market?”, Energy, 215(A): 1-8.
• YILDIRIM, H. (2020). “Testing bubbles formation at real-time commodity prices”, Public Affairs, 21(3): 1-10.
• YU, K., & ZHANG, Y. (2021). “Booms and busts in the oil market: identifying speculative bubbles using a continuous-time dynamic system”. Complexity, 2021: 1-19
• ZHANG, D., SHI, M., & SHI, X. (2018a). “Oil indexation, market fundamentals, and natural gas prices: an investigation of the Asian premium in natural gas trade”. Energy Economics. 69: 33–41.
• ZHANG, D., WANG, T., SHI, X., & LIU, J. (2018b) “Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test”, Energy Economics, 76: 495-503.
• ZHANG, Y., & YAO, T. (2016). “Interpreting themovement of oil prices: driven by fundamentals or bubbles?”, Economic Modelling, 55: 226–240.