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

Öz

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.

Anahtar Kelimeler

• 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

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