AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY

Göktuğ ŞAHİN (Ankara Hacı Bayram Veli Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Ankara, Türkiye)
Akademik Hassasiyetler
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Yıl: 2022 Cilt: 9 Sayı: 20 Sayfa Aralığı: 223 - 243 Metin Dili: İngilizce İndeks Tarihi: 10-01-2023

AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY

Öz:
This study aims to analyze the causes of price volatility transmission between natural gas and substitute energy commodities in different markets after accounting the natural gas price interdependency. Besides, it is intended to contribute to the understanding of natural gas price volatility and transmission of price volatility in energy markets and present empirical findings by applying DCC-GARCH model to the system of recent natural gas, oil, and coal price data that would be of use to academic literature as well as energy market participants, international trade parties, and policymakers. The oil and coal are substitutes for natural gas, so as the prices of the substitutes change, they affect the price and volatility of natural gas. Hence, the examination is carried out with National Balancing Point, Henry Hub, Title Transfer Facility, Zeebrugge Hub, and Japan Korean Marker prices as endogenous set of natural gas variables with prices of Brent Oil, West Texas Intermediate Oil, and Newcastle Coal as exogenous variables. Accordingly, coal prices are found to be more effective in terms of natural gas price volatility as a substitute, and the higher the coal prices, the higher the volatility of the natural gas prices. These findings are also compatible with the other exogenous variables of oil prices, but the relationship is more effective in coal prices because natural gas mainly replaces coal as a close substitute. This situation creates a source of perception in terms of pricing and price fluctuations concerning volatility in natural gas markets.
Anahtar Kelime:

KÖMÜR VE PETROL FİYATLARININ DOĞAL GAZ FİYAT OYNAKLIĞINA AKTARIMININ ANALİZİ

Öz:
Bu çalışma, enerji emtia fiyatlarının karşılıklı bağımlılığının hesaba katılması ile farklı piyasalardaki doğal gaz ile ikame enerji ürünleri arasındaki fiyat oynaklığı aktarımının nedenlerini incelemeyi amaçlamaktadır. Ayrıca, akademik yazın, enerji piyasası aktörleri, uluslararası ticaret tarafları ve politika yapıcılar açısından enerji piyasalarındaki fiyat oynaklığı ve fiyat oynaklığının aktarımının anlaşılmasına katkıda bulunabilmek adına güncel doğal gaz, petrol ve kömür fiyatı verilerindenoluşan sisteme DCC-GARCH modeli uygulanarak ampirik bulgular sunulması amaçlanmıştır. Petrol ve kömürün doğal gaz ile yakın ikâmeler olması sebebiyle ilgili enerji emtialarının fiyatlarında meydana gelen değişimler, doğal gaz fiyatlarını ve oynaklığını etkilemektedir. Bu nedenle çalışmada, National Balancing Point, Henry Hub, Title Transfer Facility, Zeebrugge Hub ve Japan Korean Marker doğal gaz fiyatları içsel fiyat değişkenleri iken Brent Petrol, West Texas Intermediate Petrol ve Newcastle Coal Kömür fiyatları dışsal değişkenler olarak belirlenmiştir. Gerçekleştirilen ampirik analize göre, ikâme olarak kömür fiyatlarının doğal gaz fiyatlarındaki oynaklık açısından daha etkili olduğu ve kömür fiyatları yükseldikçe doğal gaz fiyatlarındaki oynaklığın da arttığı tespit edilmiştir. Ayrıca, ilgili bulguların diğer dışsal değişkenler olan petrol emtialarının fiyatları ile de uyumlu olduğu gözlemlenirken, doğal gazın esas olarak kömür ile yakın ikâme olması sebebiyle bu ilişkinin kömürde daha etkili olduğu sonucuna varılmıştır. Bu durum, doğal gaz piyasalarındaki fiyatlama ve oynaklığa ilişkin fiyat dalgalanmaları açısından bir bakış açısı kaynağı oluşturmaktadır.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Şahin G (2022). AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. , 223 - 243.
Chicago Şahin Göktuğ AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. (2022): 223 - 243.
MLA Şahin Göktuğ AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. , 2022, ss.223 - 243.
AMA Şahin G AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. . 2022; 223 - 243.
Vancouver Şahin G AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. . 2022; 223 - 243.
IEEE Şahin G "AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY." , ss.223 - 243, 2022.
ISNAD Şahin, Göktuğ. "AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY". (2022), 223-243.
APA Şahin G (2022). AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. Akademik Hassasiyetler, 9(20), 223 - 243.
Chicago Şahin Göktuğ AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. Akademik Hassasiyetler 9, no.20 (2022): 223 - 243.
MLA Şahin Göktuğ AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. Akademik Hassasiyetler, vol.9, no.20, 2022, ss.223 - 243.
AMA Şahin G AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. Akademik Hassasiyetler. 2022; 9(20): 223 - 243.
Vancouver Şahin G AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY. Akademik Hassasiyetler. 2022; 9(20): 223 - 243.
IEEE Şahin G "AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY." Akademik Hassasiyetler, 9, ss.223 - 243, 2022.
ISNAD Şahin, Göktuğ. "AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY". Akademik Hassasiyetler 9/20 (2022), 223-243.
Sayfa Oluşturulma Tarihi
24-04-2024 5:29

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