THE RELATIONSHIP OF NATURAL GAS PRICES WITH THE PRICES OF CRYPTO CURRENCIES, WHICH ARE SUSTAINABLE ENERGY PROJECTS

Öz

The aim of this study is to investigate the impact of Cardano and Ripple prices, which consume less energy and have projects to reduce pollution, on natural gas prices. In this context, monthly data for the period 2018:06 - 2023:04 obtained from dollar-based data of Cardano coin, Ripple coin and natural gas were used. In the study, the movements of Cardano, Ripple coins and natural gas prices were analyzed using time series analysis. In the study, analysis was performed with the Augmented Dickey-Fuller (ADF) unit root test to measure stationarity. As a result of the unit root test, it was determined that the series were stationary in their first differences with constant terms. Zivot and Andrew tests were used to examine structural breaks. According to the test results, it was observed that there was no stationarity problem. Afterwards, the var model was established and the optimal lag length was determined to be three. After determining the lag length, unit circle root test and autocorrelation lm test were performed. Afterwards, Johensen Cointegration test was performed to see whether there was a long-term relationship between the variables. As a result of the test, it was determined that there was a long-term relationship between the variables. After the cointegration test, Granger Causality analysis was performed to determine the factors affecting natural gas prices. After the causality analysis, the LCM test was conducted to identify the variables affecting natural gas prices. As a result of Granger causality analysis, no causality relationship was found between Cardano and Ripple prices and natural gas prices. It has been determined that there is a bidirectional causality relationship between Cardano and Ripple prices. According to the EKK test, it has been observed that Cardano and Ripple prices do not affect natural gas prices.

Anahtar Kelimeler

• Cryptocurrency
• Sustainable Energy
• Natural Gas Prices

Doğalgaz Fiyatlarının Sürdürebilir Enerji Projeleri Olan Kripto Paraların Fiyatları İle İlişkisi

Öz

Bu çalışmanın amacı az enerji tüketen ve kirliliği azaltmak üzerine projeleri olan Cardano ve Ripple fiyatlarının doğalgaz fiyatları üzerindeki etkisini araştırmaktır. Bu kapsamda Cardano coin, Ripple coin ve doğalgazın dolar bazlı verilerden elde edilen 2018:06 – 2023:04 zaman dilimine ait aylık veriler kullanılmıştır. Çalışmada zaman serileri analizi kullanılarak Cardano, Ripple coinlerinin ve doğalgaz fiyatlarının hareketleri analiz edilmiştir. Yapılan çalışmada durağanlığı ölçmek için Genişletilmiş Dickey Fuller (Augmented Dickey-Fuller -ADF) birim kök testi ile analizi yapılmıştır. Sonrasında ise var modeli kurularak gecikme uzunluğu tespit edilmiştir. Gecikme uzunluğu tespitinden sonra ise birim çember kök testi ve otokorelasyon lm testi yapılmıştır. Daha sonrasında ise değişkenler arasında uzun dönemde ilişki olup olmadığına bakmak için Johensen Eş Bütünleşme testi yapılmıştır. Eş bütünleşme testinden sonra doğalgaz fiyatlarını etkileyen etmenleri tespit etmek için Granger Nedensellik analizi yapılmıştır. Nedensellik analizinden sonra doğalgaz fiyatlarını etkileyen değişkenleri tespit etmek için EKK testi yapılmıştır. Granger nedensellik analizi sonucunda Cardano ve Ripple fiyatları doğalgaz fiyatları arasında nedensellik ilişkisine rastlanılmamıştır. Cardano ile Ripple fiyatları arasında çift yönlü nedensellik ilişkisi olduğu tespit edilmiştir. EKK testine göre ise Cardano ve Ripple fiyatlarının doğalgaz fiyatlarını etkilemediği gözlemlenmiştir.

Anahtar Kelimeler

• Kripto Para
• Sürdürebilir Enerji
• Doğalgaz

Kaynakça

1. Aysan, A. F., Demir, E., Gozgor, G., & Lau, C. K. M. (2019). Effects of the geopolitical risks on Bitcoin returns and volatility. Research in International Business and Finance, 47, 511-518.
2. Azza, B., Mgadmi, N., & Moussa, W. (2021). On the relationship between bitcoin and other assets during the outbreak of coronavirus: evidence from fractional cointegration analysis. Available at SSRN 3947714.
3. Derbali, A., Jamel, L., Ben Ltaifa, M., Elnagar, A. K., & Lamouchi, A. (2020). Fed and ECB: which is informative in determining the DCC between bitcoin and energy commodities?. Journal of Capital Markets Studies, 4(1), 77-102.
4. Ghorbel, A., & Jeribi, A. (2021). Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period. Eurasian Economic Review, 11, 449-467.
5. Goodell, J. W., & Goutte, S. (2021). Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis. Finance Research Letters, 38, 101625.
6. Eyüboğlu, K. & Eyüboğlu, S. (2016). “Doğal Gaz ve Petrol Fiyatları Ile BIST Sanayi Sektörü Endeksleri Arasındaki İlişkinin İncelenmesi.” Journal of Yaşar University 11(42):84. Doi: 10.19168/jyu.23741.
7. Hailemariam, A., & Smyth, R. (2019). What drives volatility in natural gas prices?. Energy Economics, 80, 731-742.
8. Haq, I. U., & Bouri, E. (2022). Sustainable versus Conventional Cryptocurrencies in the Face of Cryptocurrency Uncertainty Indices: An Analysis across Time and Scales. Journal of Risk and Financial Management, 15(10), 442.

9. Keleş, E., Ülengin, B., Türkmen, S.Y. & Tan, Ö.F. (2017). Does Energy Prices Affect The Investor Sentiment ? : Short-and Long-Term Analysis in Equity Market of Istanbul Stock Exchange.
10. Khalil, Muhammad Azhar, and Kridsda Nimmanunta. 2022. Conventional versus green investments: Advancing innovation for better financial and environmental prospects. Journal of Sustainable Finance & Investment, 1–28
11. Lin, M. Y., An, C. L. (2021). The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach. Resources Policy, 74, 102383. https://doi.org/10.1016/j.resourpol.2021.102383.
12. Meiryani, M., Tandyopranoto, C. D., Emanuel, J., Lindawati, A. S. L., Fahlevi, M., Aljuaid, M., & Hasan, F. (2022). The effect of global price movements on the energy sector commodity on bitcoin price movement during the COVID-19 pandemic.
13. Heliyon, 8(10). Mishra, Lokanath, and Vaibhav Kaushik. 2021. Application of blockchain in dealing with sustainability issues and challenges of financial sector. Journal of Sustainable Finance & Investment, 1–16.
14. Moussa, W., Mgadmi, N., B´ejaoui, A., Regaieg, R. (2021). Resources Policy, 74, 102416. https://doi.org/10.1016/j.resourpol.2021.102416.
15. Omura, A., Cheung, A., & Su, J. J. (2023). Does natural gas volatility affect Bitcoin volatility? Evidence from the HAR-RV model. Applied Economics, 1-12.
16. Pham, L., Huynh, T. L. D., &Hanif, W. Cryptocurrency, green and fossil fuel investments. 2021, Available at SSRN 3925844.
17. Rehman, M. U., & Kang, S. H. (2021). A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets. Global Finance Journal, 49, 100576.
18. Rehman, M., Kang, S. H. (2021). A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets. Global Finance Journal, 49, 100576. https://doi.org/10.1016/j.gfj.2020.100576.
19. Rojey, A., Jaffret, C., Cornot-Gandolp, S., Durand, B., (1997). Natural Gas Production, Processing, Transport. Paris,France : Editions Technip.
20. Symitsi, E., & Chalvatzis, K. J. (2018). Return, volatility and shock spillovers of Bitcoin with energy and technology companies. Economics Letters, 170, 127-130.
21. Tang, C., & Aruga, K. (2021). Relationships among the fossil fuel and financial markets during the COVID-19 pandemic: evidence from bayesian DCC-MGARCH models. Sustainability, 14(1), 51.
22. Qin, Y., Hong, K., Chen, J., & Zhang, Z. (2020). Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions. Energy Economics, 90, 104851.