Osman TÜZÜN, Ramazan Ekinci, Fatih Ceylan, Hakan Kahyaoğlu

TÜRKİYE ELEKTRİK FİYATLARINDAKİ ANİ SIÇRAMALARIN MARKOV REJİM DEĞİŞİM MODELLERİYLE ANALİZİ

Öz Bu çalışmanın amacı, Türkiye elektrik piyasasında gerçekleşen sistem marjinal fiyatlarındaki (spot elektrik fiyatları) ani fiyat artış (spike) etkilerini analiz etmektir. Ele alınan zaman aralığında piyasa fiyatlarını temsil eden zaman serisinde söz konusu etkilerin varlığı Markov-Değişim Genelleştirilmiş Kendisiyle Bağlaşımlı Koşullu Değişen Varyans (MS-GARCH) tekniği kullanılarak test edilmiştir. Söz konusu model düşük ve yüksek oynaklık dönemlerini temsil eden iki farklı rejimle tanımlanmıştır. Elde edilen sonuçlara göre ani fiyat artışlarının (spike), ortalama fiyat düzeyinden sapma yaratan tesadüfi (stokastik) bir etkiye sahip olduğu sonucuna ulaşılmıştır. Bununla birlikte elektrik piyasasında genellikle normal fiyat rejimleri geçerli olmakla birlikte, normal fiyat rejimlerinden ani fiyat yükseliş rejimine geçiş olasılığının yüksek olduğu da görülmektedir. Ayrıca elektrik fiyatları yüksek bir oynaklıkla birlikte güçlü bir rejim bağımlılığı da göstermektedir.

Anahtar Kelimeler:

Elektrik piyasası, Spike, Markov Rejim Değişim Tekniği, MS-GARCH

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