Avrupa ve Doğu Asya Doğal Gaz Piyasalarının Entegrasyonunun Değerlendirilmesi: Bir ARDL Yaklaşım

Year 2025, Volume: 10 Issue: 28, 828 - 851

Reza Bilgin

https://doi.org/10.25204/iktisad.1615447

Abstract

Bu çalışma, Avrupa (NBP) ve Doğu Asya (JKM) doğal gaz piyasaları arasındaki fiyat dinamiklerini incelemektedir. Araştırma hem kısa hem de uzun vadeli asimetrileri tek bir çerçevede analiz etmeye olanak tanıyan Doğrusal Olmayan Otoregresif Dağıtılmış Gecikme (NARDL) modelini kullanmaktadır. NARDL yaklaşımı, bu asimetrileri tek bir model içinde ele alabildiği için özellikle tercih edilmiştir. Çalışmanın veri seti, 29 Temmuz 2014 ile 17 Kasım 2023 tarihleri arasını kapsamaktadır. Doğu Asya'daki LNG Japonya/Kore Göstergesi (JKM) günlük spot fiyatları SP Platts'tan, Birleşik Krallık'taki Ulusal Denge Noktası (NBP) günlük spot fiyatları ise aynı dönem için Refinitiv Eikon'dan temin edilmiştir. Elde edilen analiz bulguları, bir piyasadaki gecikmeli doğal gaz fiyatlarındaki değişikliklerin diğer piyasadaki fiyatları önemli ölçüde etkilediğini ortaya koymaktadır. Daha da dikkat çekici olan, negatif fiyat değişimlerinin etkisinin pozitif değişimlerin etkisinden daha büyük olmasıdır. Uzun vadeli çarpan etkilerinin ise yaklaşık 9 ila 12 aylık bir süre içinde ortaya çıktığı tespit edilmiştir. Bu sonuçlar, iki bölgesel piyasa arasındaki asimetrik bağlantıyı ve özellikle fiyat düşüşlerinin daha güçlü yayılma etkisine sahip olduğunu göstermektedir.

Keywords

Market Integration , LNG , ARDL

Assessing the Integration of Natural Gas Markets in Europe and East Asia: An ARDL Approach

Abstract

This study investigates the relationship between natural gas price dynamics in Europe and East Asia using the Nonlinear Autoregressive Distributed Lag (NARDL) model, which allows for the analysis of both short- and long-term asymmetries in a unified framework. The NARDL approach is particularly appealing due to its simplicity in handling these asymmetries within a single model. The dataset includes daily spot prices for natural gas in East Asia, specifically the LNG Japan/Korea Marker (JKM) obtained from SP Platts covering the period from July 29, 2014, to November 17, 2023. Additionally, daily spot prices from the National Balancing Point (NBP) in the United Kingdom were sourced from Refinitiv Eikon for the same time frame. Findings from the analysis indicate that changes in lagged natural gas prices in one market significantly influence prices in the other. Moreover, the impact of negative price shifts appears to be greater than that of positive shifts, with long-term multiplier effects manifesting over a period of approximately 9 to 12 months.

Keywords

Natural Gas , Market Integration , LNG , ARDL

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