Türk Gün Öncesi Elektrik Piyasasında Fiyat Balonu Testi ve Analizi

Varlık fiyatları ekonomik temeller tarafından gerekçelendirilemeyen muazzam yükseliş ve düşüş dönemleri sergileyebilmektedir. Varlık fiyat serisindeki bu patlayıcı davranışlar, balon oluşumuna işaret etmektedir. Balonlar, istikrarsız fiyat artış dönemleri yaratır. Fiyatlardaki bu yüksek oynaklık dönemlerini gün öncesi elektrik piyasalarında da gözlemlemek mümkündür. Elektrik fiyatlarındaki aşırılıklar da, piyasa fiyatını belirleyen temel değerlerden sapmalar olan balonlar olarak değerlendirilebilir. Yüksek elektrik fiyatlarının gözlemlenmesi, tüketicilerin daha ucuz olan diğer enerji kaynaklarını tercih etmelerini sağlayarak tüketici davranışını etkileyebilmektedir. Yüksek elektrik fiyatları, tüketici fiyat endeksi ve ekonomik büyüme gibi temel makroekonomik değişkenler üzerinde de önemli bir etkiye sahiptir. Bu çalışmada, Türk gün öncesi elektrik piyasasında rasyonel balonların varlığı sağ kuyruklu ADF birim kök testleri: RADF, SADF ve GSADF testleri ile araştırılıp analiz edilmiştir. 2011 Aralık ile 2021 Nisan dönemi için arza gore düzeltilmiş aylık elektrik fiyatları kullanılmıştır. Ampirik bulgulara göre, kullandığımız verilerde 2015 ve 2018 yıllarında olmak üzere iki balon tespit edilmiştir.

Testing and Analyzing the Price Bubbles in Turkish EDAM

Asset prices exhibit tremendous boost and bust periods, that are often not justified by economic fundamentals. The explosive behavior in asset price series may imply bubbles. Bubbles create erratic price spike periods. These periods of high price volatility are possible to observe in day-ahead electricity markets (EDAMs). The extreme price fluctuations in electricity prices can be considered as deviations from the fundamental values or bubbles. High electricity prices can significantly affect the consumer behavior to make consumers opt for other energy sources that are cheaper. They also have an important impact on key macroeconomic variables such as consumer price index and economic growth. In this paper, we test and analyze the existence of price bubbles in Turkish EDAM by applying the right-tailed ADF unit root tests: RADF, SADF, and GSADF tests, using monthly supplyadjusted prices between December 2011 and April 2021. Empirical results reveal two bubble periods in 2015 and 2018.

PDF

___

Afriyie, J. K., Twumasi-Ankrah S., P., Gyamfi K. B., Arthur D., & Pels, W. A. (2020). Evaluating the performance of unit root tests in single time series processes. Mathematics and Statistics, 8(6), 656-664.
Akkemik A., (2011). Potential impacts of electricity price changes on price formation in the economy: a social accounting matrix price modeling analysis for Turkey. Energy Policy, 39, 854-864.
Aliabadi, D. E. (2016). Analysis of Collusion and Competition in Electricity Markets Using an Agentbased Approach. (Unpublished doctoral dissertation). Sabancı University, İstanbul, Turkey.
Ayan, E. T., & Eken, S. (2021). Detection of price bubbles in Istanbul housing market using LSTM autoencoders: a district-based approach. Soft Computing, 25, 7957-7973.
Bohl, M. T., Kaufmann, P., & Ste, P. M. (2013). From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks. Energy Economics, 37, 40-51.
Brunnermeier, M. K., & Oehmke, M. (2012, September). Bubbles, Financial Crises, and Systemic Risk. (NBER Working Paper Series No 18398). https://www.nber.org/papers/w18398.
Ceritoğlu, E., Cılasun, S. M., Demiroğlu, U., & Ganioğlu, A. (2019). An analysis to detect exuberance and implosion in regional house prices in Turkey. Central Bank Review 19 (2), 67-82.
Cretía, A., & Joëtsb, M. (2017). Multiple bubbles in the European Union Emission Trading Scheme. Energy Policy, 107, 119–130.
Citak, F. (2019). An Empirical Investigation of Bubble in the Turkish Stock Market. International Journal of Economics and Innovation, 5(2), 247-262.
Coşkun. İ. (2015, October 27).UPDATE 2-Turkey's Botas seeks arbitration over Russian gas deal. Reuters Commodities News. https://www.reuters.com/article/russia-turkey-gasidUKL8N12R1RX20151027 Diba, B. T., & Grossman, H. I. (1988). Explosive Rational Bubbles in Stock Prices? The American Economic Review, 78(3), 520-530.
Ellyatt. H. (2015, November 26). This is how Russia could hurt Turkey' s economy. CNBC Europe News. https://www.cnbc.com/2015/11/26/this-is-how-russia-could-hurt-turkeys-economy.html EPİAŞ. (2018). EPİAŞ Annual Report 2018. https://www.epias.com.tr/wpcontent/ uploads/2019/11/EP%C4%B0A%C5%9E-ANNUAL-REPORT-2018-2.pdf
Evanoff, D. D. (2012, November). Chicago Fed Letter, Essays On Issues, Number 304. Asset price bubbles: What are the causes, consequences, and public policy options? Retrieved from the Federal Reserve Bank of Chicago database.
Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81(4), 922-930.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
Figuerola-Ferretti, I., Gilbert, C. L., & McCrorie, J. R. (2015). Testing for mild explosivity and bubbles in LME non-ferrous metal prices. Journal of Time Series Analysis (36), 763-782.
Ganioğlu, A. (2017, July). Evidence for the Explosive Behavior of Food and Energy Prices:Implications in terms of Inflation Expectations. (TCMB Working Paper No: 17/17). Retreived from https://www.tcmb.gov.tr/wps/wcm/connect/315de176-49a1-4b5a-9ade- 6130aeae9dd4/wp1717.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-315de176- 49a1-4b5a-9ade-6130aeae9dd4-m3fw6m5
Gupta , R., & Inglesi-Lotz, R. (2016). Detection of multiple bubbles in South African electricity prices. Energy Sources Part B: Economics, Planning and Policy, 11, 637-642.
Gürkaynak, R. S. (2008). Econometric Tests of Asset Price Bubbles: Taking Stock. Journal of Economic Surveys 22 (1), 166–186.
Herrera, C. J., & Tourinho, O. A. (2019). Multiple bubbles in crude oil prices 1990-2019: SADF and GSADF tests. Proceedings of the LACEA-LAMES Meeting. Retrieved from https://sistemas.colmex.mx/Reportes/LACEALAMES/LACEA-LAMES2019_paper_676.pdf
IEA. (2011). International Energy Efficiency Press Release. https://www.iea.org/news/turkey-ssuccess- in-renewables-is-helping-diversify-its-energy-mix-and-increase-its-energy-security
Irmak, E., & Gürel, A. (2017). Current Situation of Agricultural Extension in Entrepreneurship and Cooperatives. Third Sector Social Economic Review, 52nd Special Edition, 176-20
Iskenderoglu, O., & Akdag, S. (2019). An Applied Analysis on the Presence of Price Bubbles of Real Estate Prices in Turkey. Business and Economics Research Journal, 10(5), 1085-1093.
2.Itamar, C. (2017). Rtadf: Testing for Bubbles with Eviews. Journal of Statistical Software, 81, Code Snippet 1, 1-16.
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, 8, 104-740.
Liu, T-Y., & Lee, C-C. (2018). Will the Energy Price Bubble Burst? Energy, Vol 150, 276-288. Maggiulli, N. (2019). The Greatest Asset Bubble of All Time. Retrieved from https://ofdollarsanddata.com/asset-bubble/
Montasser, G., Gupta, R., Martins, A. L., & Wanke, P. (2015). Are there multiple bubbles in the ethanol– gasoline price ratio of Brazil? Renewable and Sustainable Energy Reviews, 52, 19-23.
Mount, T. (2001). Market power and price volatility in restructured markets for electricity. Decision Support Systems, 30, 311-325.
Phillips, P., Shi, S.-P., & Yu, J. (2015). Testing for multiple bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review 56(4), 1043-1078.
Phillips, P., Wu, Y., & Yu, J. (2011). Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52(1), 201-226.
TCMB. (2021). Electronic Data Delivery System, Exchange Rates. https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket Turkish Official Gazette. (2011). Regulation on the Documenting and Supporting of Renewable Energy Resources No 28001. https://www.resmigazete.gov.tr/eskiler/2011/07/20110721-6.htm
Winrow G. (2017, January 1) Turkey and Russia: The importance of energy ties. Insight Turkey (published by SETA foundation) https://www.insightturkey.com/commentaries/turkey-andrussia- the-importance-of-energy-ties