Küresel Riskler ve Belirsizliklerin, Yenilenebilir ve Yenilenemez Enerji Fiyatları Üzerindeki Asimetrik Nedensellik İlişkisinin İncelenmesi

Year 2023, , 49 - 60, 31.03.2023

Elif Özcan , Sena Arslan , Enes Burak Ergüney

https://doi.org/10.54821/uiecd.1206201

Abstract

Bu çalışma VIX Volatilite Endeksi, Jeopolitik Risk ile Doğalgaz, Brent Petrol ve Yeşil Enerji arasındaki ilişkiyi Hatemi-J Asimetrik Nedensellik analizi ile Aralık 2016 ile Ekim 2022 yılları arasında incelemektedir. Değişkenler aylık veri baz alınarak ve analiz modeli kullanılarak test edilmiştir. Elde edinilen bulgular, bağımsız değişkenler olan GPR ve VIX endeksi ile bağımlı değişkenler GAS, BRENT ve GREEN ile ikili testler uygulanılarak aradaki bağlantılar incelenmiştir. GPR ve VIX endeksi ile GAS %1 düzeyinde anlamlılık gösterirken, BRENT ile hiçbir anlamlı ilişkiye rastlanılmamıştır. GREEN ise GPR ile anlamlı bir ilişki yokken VIX endeksi ile %5 düzeyinde anlamlı olduğu görülmüştür. GPR ile VIX endeksinde pozitif bir artış olduğu zaman GAS fiyatlarındaki artışta pozitif olduğu görülmüştür. Ancak aynı durum BRENT petrol fiyatları için geçerli değildir.

Keywords

Jeopolitik Risk, Brent Petrol, VIX Endeksi, Yeşil Enerji

Investigation of the Asymmetric Causality Relationship of Global Risks and Uncertainties on Renewable and Non-Renewable Energy Prices

Abstract

This study examines the relationship between VIX Volatility Index, Geopolitical Risk and Natural Gas, Brent Oil and Green Energy between December 2016 and October 2022 with Hatemi-J Asymmetric Causality analysis. Variables were tested based on monthly data and using the analysis model. The obtained findings were examined by applying binary tests with the independent variables GPR and VIX index and the dependent variables GAS, BRENT and GREEN. While GPR and VIX index and GAS showed significance at the level of 1%, no significant relationship was found with BRENT. While GREEN did not have a significant relationship with GPR, it was found to be significant at the 5% level with the VIX index. When there was a positive increase in the GPR and VIX index, it was seen that the increase in GAS prices was positive. However, the same is not true for BRENT oil prices.

Keywords

Geopolitical Risk, Brent Oil, VIX Index, Green Energy

References

• Al Mamun, M., Uddin, G. S., Suleman, M. T., & Kang, S. H. (2020). Geopolitical risk, uncertainty and bitcoin investment. Physica A: Statistical Mechanics and its Applications, 540, 123107.
• Andreasson, P., Bekiros, S., Nguyen, D. K., & Uddin, G. S. (2016). Impact of speculation and economic uncertainty on commodity markets. International Review of Financial Analysis, 43, 115-127.
• Aslam, F., Ferreira, P., Ali, H., & José, A. E. (2022). Application of multifractal analysis in estimating the reaction of energy markets to geopolitical acts and threats. Sustainability 2022, 14, 5828.
• Aydın, F. (2010). Energy consumption and economic growth. Journal of Erciyes University Faculty of Economics and Administrative Sciences, (35), 317-340.
• Bayraktaroğlu, E., Gürsoy, S., Günay, F., & Karakuş, Y. (2021). Geopolitical risks and international tourist arrivals to Turkey: A causality study. Anais Brasileiros de Estudos Turísticos.
• Bilginoğlu, M. A. (1991). Energy problem and alternative energy policies in developing countries. Journal of Erciyes University Faculty of Economics and Administrative Sciences, (9), 122-147.
• Blomberg, B., Hess, G., & Jackson, J. H. (2009). Terrorism and the returns to oil. Economics & Politics, 21(3), 409-432.
• BP (2021). BP statistical review of world energy.
• Brückner, M., & Gradstein, M. (2015). Income growth, ethnic polarization, and political risk: Evidence from international oil price shocks. Journal of Comparative Economics, 43(3), 575-594.
• Casier, T. (2011). The rise of energy to the top of the EU-Russia agenda: From interdependence to dependence? Geopolitics, 16(3), 536-552.
• Chen, H., Liao, H., Tang, B. J., & Wei, Y. M. (2016). Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models. Energy Economics, 57, 42-49.
• Chen, X. (2022). Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis. Applied Economics, 1-16.
• Chen, X., Sun, X., & Li, J. (2020). How does economic policy uncertainty react to oil price shocks? A multi-scale perspective. Applied Economics Letters, 27(3), 188-193.
• Demir, F. (2010). Energy game. Istanbul: Distinction publications.
• Devezas, T., LePoire, D., Matias, J. C., & Silva, A. M. (2008). Energy scenarios: Toward a new energy paradigm. Futures, 40(1), 1-16.
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
• Durğun, B., & Durgun, F. (2018). Causality relationship between renewable energy consumption and economic growth: The case of Turkey. International Review of Economics and Management, 6(1), 1-27.
• Ehin, P., & Berg, E. (2016). Incompatible identities? Baltic-Russian relations and the EU as an arena for identity conflict. In identity and foreign policy (pp. 1-14). Routledge.
• Emeksiz, C., & Fındık, M. M. (2021). Evaluation of renewable energy resources for sustainable development in Turkey. European Journal of Science and Technology, (26), 155-164.
• Fischer, S. (2016). Nord stream 2: Trust in Europe. CSS Policy Perspectives, 4(4).
• Flouros, F., Pistikou, V., & Plakandaras, V. (2022). Geopolitical risk as a determinant of renewable energy investments. Energies, 15(4), 1498.
• Frederick, D. E. (2016). Libraries, data and the fourth industrial revolution (Data deluge column). Library Hi Tech News.
• Gong, X., Sun, Y., & Du, Z. (2022). Geopolitical risk and China's oil security. Energy Policy, 163, 112856. GPR (2022) https://www.policyuncertainty.com/gpr.html (10.09.2022).
• Gürsoy, S. (2020). Investigation of the relationship between VIX index and BRICS countries stock markets: An econometric application. Mehmet Akif Ersoy University Journal of Applied Sciences, 4(2), 397-413.
• Gürsoy, S. (2021). Analysis of the relationship between energy prices and geopolitical risk. International Journal of Economics, Politics, Humanities and Social Sciences, 4(2), 69-80.
• Hatemi-j, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456.
• Henderson, J., & Mitrova, T. (2015). The political and commercial dynamics of Russia’s gas export strategy.
• Ivanovski, K., & Marinucci, N. (2021). Policy uncertainty and renewable energy: Exploring the implications for global energy transitions, energy security, and environmental risk management. Energy Research & Social Science, 82, 102415.
• Jubinski, D., & Lipton, A. F. (2013). VIX, gold, silver, and oil: How do commodities react to financial market volatility? Journal of Accounting and Finance, 13(1), 70-88.
• Kang, B., Nikitopoulos, C. S., & Prokopczuk, M. (2020). Economic determinants of oil futures volatility: A term structure perspective. Energy Economics, 88, 104743.
• Kang, W., Ratti, R. A., & Vespignani, J. L. (2017). Oil price shocks and policy uncertainty: New evidence on the effects of US and Non-US oil production. Energy Economics, 66, 536-546.
• Karakoç, T. H., Karakoç, N., Erbay, B., & Aras, H. (2011). Energy analysis. Republic of Turkey Anadolu University Publication, First Edition, 2486.
• Konak, A. (2019). Turkey's dependence on natural gas and necessity of alternative energy sources production. International Journal of Afro-Eurasian Studies, 4(7), 196-209.
• Kropatcheva, E. (2011). Playing both ends against the middle: Russia's geopolitical energy games with the EU and Ukraine. Geopolitics, 16(3), 553-573.
• Kumar, S., Khalfaoui, R., & Tiwari, A. K. (2021). Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries. Resources Policy, 74, 102253.
• Kuzemko, C., Goldthau, A., & Keating, M. (2017). The global energy challenge: Environment, development and security. Bloomsbury Publishing.
• Laine, V., Martikainen, T., Pynnöniemi, K., & Saari, S. (2015). Zugzwang in slow motion? The implications of russia’s system-Level crisis.
• Lee, C. C., Lee, C. C., & Li, Y. Y. (2021). Oil price shocks, geopolitical risks, and green bond market dynamics. The North American Journal of Economics and Finance, 55, 101309.
• Lee, J. & Strazıcıch, M. C. (2004). Minimum LM unit root test with one structural break. Working Papers from Department of Economics, Appalachian State University, No 04-17.
• Lee, J., & Strazicich, M. C. (2003). Minimum lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
• Li, S., Tu, D., Zeng, Y., Gong, C., & Yuan, D. (2022). Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data. Energy Economics, 113, 106191.
• Liu, T., & Hamori, S. (2020). Spillovers to renewable energy stocks in the US and Europe: Are they different? Energies, 13(12), 3162.
• Liu, Y., Han, L., & Xu, Y. (2021). The impact of geopolitical uncertainty on energy volatility. International Review of Financial Analysis, 75, 101743.
• Lloyd, R. M., & Klare, M. T. (2008). Rising powers, shrinking planet: The new geopolitics of energy. Naval War College Review, 61(4), 12.
• Mikulska, A. (2020). Gazprom and Russian natural gas policy in the first two decades of the 21st century. Orbis, 64(3), 403-420.
• Mut, R. (2010). An economic-political breaking point in the Middle East: 1973 Oil Crisis (Doctoral Dissertation, Marmara University (Turkey)).
• Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. Özdurak, C. (2021). Will clean energy investments provide a more sustainable financial ecosystem? Less carbon and more democracy. Renewable and Sustainable Energy Reviews, 151, 111556.
• Pala, F., & Barut, A. (2021). The impact of financial development, economic growth and energy consumption on environmental quality: Example of E-7 countries. Anadolu University Journal of Social Sciences, 21(2), 347-366.
• Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
• Prasad, A., Bakhshi, P., & Seetharaman, A. (2022). The impact of the US macroeconomic variables on the CBOE VIX index. Journal of Risk and Financial Management, 15(3), 126.
• Qazi, A., Hussain, F., Rahim, N. A., Hardaker, G., Alghazzawi, D., Shaban, K., & Haruna, K. (2019). Towards sustainable energy: A systematic review of renewable energy sources, technologies, and public opinions. IEEE Access, 7, 63837-63851.
• Ramachandra, T. V., & Shruthi, B. V. (2007). Spatial mapping of renewable energy potential. Renewable and Sustainable Energy Reviews, 11(7), 1460-1480.
• Sevim, C. (2012). Global energy geopolitics and energy security. Yaşar University E-Journal, 7(26), 4378-4391.
• Shang, Y., Han, D., Gozgor, G., Mahalik, M. K., & Sahoo, B. K. (2022). The impact of climate policy uncertainty on renewable and non-renewable energy demand in the United States. Renewable Energy, 197, 654-667.
• Siddi, M. (2016). The EU’s energy union: A sustainable path to energy security? The International Spectator, 51(1), 131-144.
• Siddi, M. (2018). Identities and vulnerabilities: The Ukraine crisis and the securitisation of the EU-Russia gas trade. In energy security in Europe (pp. 251-273). Palgrave Macmillan, Cham.
• Stern, J., Rogers, H., Yafimava, K., Pirani, S., El-Katiri, L., Honore, A. & Dickel, R. (2014). Reducing European dependence on Russian gas–distinguishing natural gas security from geopolitics.
• Wang, J., Ma, F., Bouri, E., & Zhong, J. (2022). Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions. Energy Economics, 108, 105904.
• Wang, K. H., Xiong, D. P., Mirza, N., Shao, X. F., & Yue, X. G. (2021). Does geopolitical risk uncertainty strengthen or depress cash holdings of oil enterprises? Evidence from China. Pacific-Basin Finance Journal, 66, 101516.
• Yang, K., Wei, Y., Li, S., & He, J. (2021). Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover. Journal of Cleaner Production, 279, 123429.
• Zhang, Y. J., & Yan, X. X. (2020). The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains. International Review of Economics & Finance, 69, 750-768.
• Zhao, J. (2022). Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with lasso approach. Resources Policy, 79, 103031.
• https://www.iea.org/fuels-and-technologies/renewables (15.11.2022).
• https://www.iea.org/reports/global-energy-review-2021/renewables (05.11.2022).
• Investing, 2022 https://tr.investing.com (10.09.2022).