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ENERJİ TÜREV ÜRÜNLERİ - TÜRKİYE ELEKTRİK PİYASASI ANALİZİ

Yıl 2022, Sayı: 35, 17 - 30, 30.04.2022
https://doi.org/10.18092/ulikidince.930399

Öz

Finansal piyasalardaki yeni risk algısı ile beraber türev ürünlerin kullanımı artmıştır. Özellikle enerji fiyatlarındaki dalgalanmalardan kaynaklanan risklerin azaltılmasına hizmet eden enerji türevleri dünya çapında ve son zamanlarda da Türkiye'de yaygın olarak kullanılmaktadır. Bu çalışmanın amacı, Türkiye elektrik piyasasında işlem gören baz yüklü vadeli işlem sözleşmelerinin gelişimini analiz ederek sınırlı literatüre katkı sağlamaktır. Kapsamlı bir literatür taramasına dayalı olarak, bu finansal araçların güçlü ve zayıf yönleri, fırsatları ve tehditleri SWOT analizi ile belirlenmiştir. Özellikle elektrik piyasasının köklü bir şekilde yeniden yapılandırılmasının ardından şeffaf, güvenilir ve rekabetçi bir yatırım ortamının yaratıldığı ve günümüzde elektrik vadeli işlem sözleşmelerinin piyasa katılımcılarının fiyat risklerini yönetmelerine veya korumalarına yardımcı olan en önemli sözleşmelerden biri olduğu sonucuna varılmıştır.

Kaynakça

  • Aslan, H. (1996). Kömüre Dayalı Termik Elektrik Santrallarında Verim ve Kapasite Kullanım Oranı Düşüklüğünün Nedenleri ve Bunların Yükseltilmeleri İçin Alınması Gerekli Tedbirler. TMMOB 1. Enerji Sempozyumu, http://www.emo.org.tr/ekler/8982b8d271b99d6_ek.pdf
  • Algieri, B. and Leccadito, A. (2019). Ask CARL: Forecasting Tail Probability for Energy Commodities. Energy Economics, 84.
  • Bahçe, S. and Taymaz, E. (2008). The Impact of Electricity Market Liberalization in Turkey. Free Consumer” and Distributional Monopoly Cases”, Energy Economics, 30, 1603–1624.
  • Cengiz, M. S. and Mamis, M. S. (2016). Termal Güneş Enerjisi Kullanımı ve CSP Sistemlerin Verimlilik Analizi. BEÜ Fen Bilimleri Dergisi, 5(1), 1-13.
  • Deng, S. and Oren, S. S. (2006). Electricity Derivatives and Risk Management. Energy Economics, 31, 940–953.
  • DG ENER Working Paper. (2017). The Future Role and Challenges of Energy Storage. https://ec.europa.eu/energy/sites/ener/files/energy_storage.pdf
  • Deloitte Report. (2016). A Short Guide for Foreign Investors in Turkish Electricity Market. https://www2.deloitte.com/content/dam/Deloitte/tr/Documents/tax/a-short-guide-for-foreign-investors-in-turkish-electricity-market.pdf
  • Edwards, D. W. (2010). Energy Trading and Investing- Trading, Risk Management, and Structuring Deals in the Energy Markets. Mc Graw-Hill, United States of America.
  • Electricity Market Development Report. (2018). http://epdk.gov.tr/Detay/Icerik/5-7861/2018-yili-sektor-raporlarinin-ingilizce-versiyonl
  • Epiaş Annual Report. (2018). https://www.epias.com.tr/wp-content/uploads/2019/03/Epias_2018_Yillik_Bulten.pdf
  • Falbo, P., Felletti D. and Stefani S. (2015). Electricity Futures. Malliaris A. G. and Ziemba W. T. (Ed.), The World Scientific Handbook of Futures Markets World Scientific Handbook in Financial Economics Series, 5, 545-565.
  • Fraunhoffer Institute for Solar Energy Sytems ISE Annual Report. (2020). https://www.ise.fraunhofer.de/content/dam/ise/en/documents/annual_reports/fraunhofer-ise-annual-report-2019-2020.pdf
  • Ghalayini, L. (2011). The Interdependence of Oil Spot and Futures Markets. European Journal of Economics, Finance and Administrative Sciences, 32.
  • Halıcıoğlu, F. (2007). Residential Electricity Demand Dynamics in Turkey. Energy Economics, 29, 199–210.
  • Handika, R. and Truck, S. (2012). The Relationship between Spot and Futures Prices: An Empirical Analysis of Australian Electricity Markets. International Association for Energy Economics Asian Conference.
  • Hass, R., Auer, H., Resch, G. and Lettner, G. (2013). The Growing Impact of Renewable Energy in European Electricity Markets. Fereidoon P. SIOSHANSI (Ed.), Evolution of Global Electricity Markets New Paradigms, New Challenges, New Approaches, Elsevier, USA, 125-146.
  • IEA. (2001). Competition in Electricity Markets, Energy Market Reform, OECD Publishing, Paris, https://doi.org/10.1787/9789264192768-en.
  • Kamara, A. (1982). Issues in Futures Markets: A Survey. Journal of Futures Markets, 2, 261–294.
  • Keiner, E. (2006). Analysis of Balancing Markets. Master’s Degree Project, https://pdfs.semanticscholar.org/ad8c/c5f98a7a8c7167e5f06dda454a018663cb48.pdf?_ga=2.132938760.761945391.1602354743-821585026.1587316152
  • KPMG. (2014). Hedging and Managing Risk in the Upcoming Singapore Electricity Futures Market. The Global Energy Institute, https://assets.kpmg/content/dam/kpmg/pdf/2014/07/singapore-electricity-futures-market.pdf
  • Lucia, J. and Torro, H. (2008). Short Term Electricity Futures Prices at Nord Pool: Forecasting Power and Risk Premiums. Instituto Valenciano de Investigaciones Económicas Working Paper.
  • Monthly Electricity Statistics IEA. (2020). https://www.iea.org/reports/monthly-electricity-statistics
  • Morales, J. M., Conejo, A. J., Madsen, H., Pinson, P. and Zugno, M. (2014). Integrating Renewables in Electricity Markets Operational Problems. Springer, Germany.
  • Moreno, M. D. (2016). Effectiveness of Hedging with Futures Contracts. Degree Final Project, https://core.ac.uk/download/pdf/84137047.pdf
  • Nakajima, T. (2019). Expectations for Statistical Arbitrage in Energy Futures Markets. Journal of Risk and Financial Management, 12(1), 1-12.
  • National Futures Association. (1999). A Guide to Understanding Opportunities and Risks in Futures Trading. https://www.renesource.com/attachments/FUTURES/A-Guide-to-Understanding-Opportunities-and-Risks-in-Futures-Trading.pdf
  • Olsson, M. (2017). Arbitrage Opportunities In The New England Electricity Market. University of Pennsylvani, Joseph Wharton Scholars, https://repository.upenn.edu/cgi/viewcontent.cgi?article=1032&context=joseph_wharton_scholars
  • Overview of European Electricity Markets. (2016). https://www.europarl.europa.eu/RegData/etudes/BRIE/2016/593519/EPRS_BRI(2016)593519_EN.pdf
  • Pietz, M. (2009). Risk Premia in the German Electricity Futures Market. Center for Entrepreneurial and Financial Studies Working Paper, 7.
  • Protopapadakis, A. and Stoll, H. R. (1983). Spot and Futures Prices and the Law of One Price. The Journal of Finance, 38(5), 1431–1455.
  • PwC Report. (2012). Turkey’s Renewable Energy Sector from a Global Perspective. https://www.pwc.com.tr/tr/publications/industrial/energy/assets/renewable-report-11-april-2012.pdf
  • PwC Report. (2013). Derivative Instruments and Hedging Activities. https://www.pwc.com.cy/en/industries/assets/derivative-instruments-and-hedging-activities.pdf
  • Sector Overview Energy. (2019). Industrial Development Bank of Turkey, http://www.tskb.com.tr/i/assets/document/pdf/sector-overview-energy-2019.pdf
  • Shawky, H., Marathe, A. and Barrett, C. (2003). A First Look at the Empirical Relation Between Spot and Futures Electricity Prices in the United States. The Journal of Futures Markets, 23 (10), 931–955.
  • Silber, W. L. (1985). The Economic Role of Financial Futures. A. PECK (Ed.) Futures Markets: Their Economic Role, American Enterprise Institute for Public Policy Research, Washington, 83- 114.
  • Simkins, B. and Simkins, R. (2013). Energy Finance and Economics – Analysis and Valuation, Risk Management and the Future of Energy. John Wiley and Sons, New Jersey.
  • State of Energy Market. (2009). Australian Energy Regulator, Melbourne, https://www.aer.gov.au/system/files/State%20of%20the%20energy%20market%202009%C3%A2%E2%82%AC%E2%80%9Dcomplete%20report.pdf
  • Stoft, S., Belden, T. N., Goldman, C. A. and Pickle, S. J. (1998). Primer on Electricity Futures and Other Derivatives. Environmental Energy Technologies Division Ernest Orlando Lawrence Berkeley National Laboratory University of California Berkeley, California, https://eta-publications.lbl.gov/sites/default/files/report-lbnl-41098.pdf
  • Talaslı, I. (2012). Stochastic Modeling of Electricity. Ph.D Thesis Department of Financial Mathematics, Middle East Technical University.
  • TSKB Enerji Bülteni. (2019). http://www.tskb.com.tr/i/assets/document/pdf/enerji-bulteni-Aralik-2019.pdf
  • Vehvilainen, I. (2002). Basics of Electricity Derivative Pricing in Competitive Markets. Applied Mathematical Finance, 9, 45–60.
  • VIOP Derivatives Market. (2017). Borsa Istanbul, https://www.borsaistanbul.com/files/VIOP.pdf
  • World Bank Report. (2015). Enhancing the World Bank’s Energy Access Investments Through Energy Efficiency. http://documents1.worldbank.org/curated/en/875391468186565552/pdf/98193-WP-P151483-Box391505B-PUBLIC-World-Bank-EA-EE-Enhancing-WBs-Energy-Access-Investments-Through-Energy-Efficiency-FINAL-25-June-2015.pdf
  • Yazıtaş, F. (2018). Genel Enerji Görünümü ve Elektrik Piyasalarına Giriş. https://www.dunyaenerji.org.tr/wp-content/uploads/2018/09/FYazitasSunum22Eylul.pdf
  • Yurdakul, C. (2015). Determinants of Current Account Deficit in Turkey: The Conditional and Partial Granger Causality Approach. Procedia Economics and Finance, 26, 92-100.
  • Zhang, Z. X. (2014). Energy Prices, Subsidies and Resource Tax Reform in China. Asia and the Pacific Policy Studies, 1(3), 439- 454.

ENERGY DERIVATIVES- AN ANALYSIS OF THE TURKISH ELECTRICITY MARKET

Yıl 2022, Sayı: 35, 17 - 30, 30.04.2022
https://doi.org/10.18092/ulikidince.930399

Öz

With the new risk perception in financial markets, the use of derivative instruments has increased. In particular, energy derivatives, which are used to reduce the risks associated with energy price fluctuations, have been widely used worldwide and recently in Turkey. The objective of this paper is to contribute to the limited literature by analyzing the evolution of base load futures contracts traded in the Turkish electricity market. Based on a comprehensive literature review, a SWOT analysis is conducted to identify the strengths, weaknesses, opportunities and threats of these financial instruments. It is concluded that, especially after the radical restructuring of the electricity market, a transparent, reliable and competitive investment environment has been created and electricity futures contracts are now one of the most important contracts that help market participants to manage or hedge electricity price risks.

Kaynakça

  • Aslan, H. (1996). Kömüre Dayalı Termik Elektrik Santrallarında Verim ve Kapasite Kullanım Oranı Düşüklüğünün Nedenleri ve Bunların Yükseltilmeleri İçin Alınması Gerekli Tedbirler. TMMOB 1. Enerji Sempozyumu, http://www.emo.org.tr/ekler/8982b8d271b99d6_ek.pdf
  • Algieri, B. and Leccadito, A. (2019). Ask CARL: Forecasting Tail Probability for Energy Commodities. Energy Economics, 84.
  • Bahçe, S. and Taymaz, E. (2008). The Impact of Electricity Market Liberalization in Turkey. Free Consumer” and Distributional Monopoly Cases”, Energy Economics, 30, 1603–1624.
  • Cengiz, M. S. and Mamis, M. S. (2016). Termal Güneş Enerjisi Kullanımı ve CSP Sistemlerin Verimlilik Analizi. BEÜ Fen Bilimleri Dergisi, 5(1), 1-13.
  • Deng, S. and Oren, S. S. (2006). Electricity Derivatives and Risk Management. Energy Economics, 31, 940–953.
  • DG ENER Working Paper. (2017). The Future Role and Challenges of Energy Storage. https://ec.europa.eu/energy/sites/ener/files/energy_storage.pdf
  • Deloitte Report. (2016). A Short Guide for Foreign Investors in Turkish Electricity Market. https://www2.deloitte.com/content/dam/Deloitte/tr/Documents/tax/a-short-guide-for-foreign-investors-in-turkish-electricity-market.pdf
  • Edwards, D. W. (2010). Energy Trading and Investing- Trading, Risk Management, and Structuring Deals in the Energy Markets. Mc Graw-Hill, United States of America.
  • Electricity Market Development Report. (2018). http://epdk.gov.tr/Detay/Icerik/5-7861/2018-yili-sektor-raporlarinin-ingilizce-versiyonl
  • Epiaş Annual Report. (2018). https://www.epias.com.tr/wp-content/uploads/2019/03/Epias_2018_Yillik_Bulten.pdf
  • Falbo, P., Felletti D. and Stefani S. (2015). Electricity Futures. Malliaris A. G. and Ziemba W. T. (Ed.), The World Scientific Handbook of Futures Markets World Scientific Handbook in Financial Economics Series, 5, 545-565.
  • Fraunhoffer Institute for Solar Energy Sytems ISE Annual Report. (2020). https://www.ise.fraunhofer.de/content/dam/ise/en/documents/annual_reports/fraunhofer-ise-annual-report-2019-2020.pdf
  • Ghalayini, L. (2011). The Interdependence of Oil Spot and Futures Markets. European Journal of Economics, Finance and Administrative Sciences, 32.
  • Halıcıoğlu, F. (2007). Residential Electricity Demand Dynamics in Turkey. Energy Economics, 29, 199–210.
  • Handika, R. and Truck, S. (2012). The Relationship between Spot and Futures Prices: An Empirical Analysis of Australian Electricity Markets. International Association for Energy Economics Asian Conference.
  • Hass, R., Auer, H., Resch, G. and Lettner, G. (2013). The Growing Impact of Renewable Energy in European Electricity Markets. Fereidoon P. SIOSHANSI (Ed.), Evolution of Global Electricity Markets New Paradigms, New Challenges, New Approaches, Elsevier, USA, 125-146.
  • IEA. (2001). Competition in Electricity Markets, Energy Market Reform, OECD Publishing, Paris, https://doi.org/10.1787/9789264192768-en.
  • Kamara, A. (1982). Issues in Futures Markets: A Survey. Journal of Futures Markets, 2, 261–294.
  • Keiner, E. (2006). Analysis of Balancing Markets. Master’s Degree Project, https://pdfs.semanticscholar.org/ad8c/c5f98a7a8c7167e5f06dda454a018663cb48.pdf?_ga=2.132938760.761945391.1602354743-821585026.1587316152
  • KPMG. (2014). Hedging and Managing Risk in the Upcoming Singapore Electricity Futures Market. The Global Energy Institute, https://assets.kpmg/content/dam/kpmg/pdf/2014/07/singapore-electricity-futures-market.pdf
  • Lucia, J. and Torro, H. (2008). Short Term Electricity Futures Prices at Nord Pool: Forecasting Power and Risk Premiums. Instituto Valenciano de Investigaciones Económicas Working Paper.
  • Monthly Electricity Statistics IEA. (2020). https://www.iea.org/reports/monthly-electricity-statistics
  • Morales, J. M., Conejo, A. J., Madsen, H., Pinson, P. and Zugno, M. (2014). Integrating Renewables in Electricity Markets Operational Problems. Springer, Germany.
  • Moreno, M. D. (2016). Effectiveness of Hedging with Futures Contracts. Degree Final Project, https://core.ac.uk/download/pdf/84137047.pdf
  • Nakajima, T. (2019). Expectations for Statistical Arbitrage in Energy Futures Markets. Journal of Risk and Financial Management, 12(1), 1-12.
  • National Futures Association. (1999). A Guide to Understanding Opportunities and Risks in Futures Trading. https://www.renesource.com/attachments/FUTURES/A-Guide-to-Understanding-Opportunities-and-Risks-in-Futures-Trading.pdf
  • Olsson, M. (2017). Arbitrage Opportunities In The New England Electricity Market. University of Pennsylvani, Joseph Wharton Scholars, https://repository.upenn.edu/cgi/viewcontent.cgi?article=1032&context=joseph_wharton_scholars
  • Overview of European Electricity Markets. (2016). https://www.europarl.europa.eu/RegData/etudes/BRIE/2016/593519/EPRS_BRI(2016)593519_EN.pdf
  • Pietz, M. (2009). Risk Premia in the German Electricity Futures Market. Center for Entrepreneurial and Financial Studies Working Paper, 7.
  • Protopapadakis, A. and Stoll, H. R. (1983). Spot and Futures Prices and the Law of One Price. The Journal of Finance, 38(5), 1431–1455.
  • PwC Report. (2012). Turkey’s Renewable Energy Sector from a Global Perspective. https://www.pwc.com.tr/tr/publications/industrial/energy/assets/renewable-report-11-april-2012.pdf
  • PwC Report. (2013). Derivative Instruments and Hedging Activities. https://www.pwc.com.cy/en/industries/assets/derivative-instruments-and-hedging-activities.pdf
  • Sector Overview Energy. (2019). Industrial Development Bank of Turkey, http://www.tskb.com.tr/i/assets/document/pdf/sector-overview-energy-2019.pdf
  • Shawky, H., Marathe, A. and Barrett, C. (2003). A First Look at the Empirical Relation Between Spot and Futures Electricity Prices in the United States. The Journal of Futures Markets, 23 (10), 931–955.
  • Silber, W. L. (1985). The Economic Role of Financial Futures. A. PECK (Ed.) Futures Markets: Their Economic Role, American Enterprise Institute for Public Policy Research, Washington, 83- 114.
  • Simkins, B. and Simkins, R. (2013). Energy Finance and Economics – Analysis and Valuation, Risk Management and the Future of Energy. John Wiley and Sons, New Jersey.
  • State of Energy Market. (2009). Australian Energy Regulator, Melbourne, https://www.aer.gov.au/system/files/State%20of%20the%20energy%20market%202009%C3%A2%E2%82%AC%E2%80%9Dcomplete%20report.pdf
  • Stoft, S., Belden, T. N., Goldman, C. A. and Pickle, S. J. (1998). Primer on Electricity Futures and Other Derivatives. Environmental Energy Technologies Division Ernest Orlando Lawrence Berkeley National Laboratory University of California Berkeley, California, https://eta-publications.lbl.gov/sites/default/files/report-lbnl-41098.pdf
  • Talaslı, I. (2012). Stochastic Modeling of Electricity. Ph.D Thesis Department of Financial Mathematics, Middle East Technical University.
  • TSKB Enerji Bülteni. (2019). http://www.tskb.com.tr/i/assets/document/pdf/enerji-bulteni-Aralik-2019.pdf
  • Vehvilainen, I. (2002). Basics of Electricity Derivative Pricing in Competitive Markets. Applied Mathematical Finance, 9, 45–60.
  • VIOP Derivatives Market. (2017). Borsa Istanbul, https://www.borsaistanbul.com/files/VIOP.pdf
  • World Bank Report. (2015). Enhancing the World Bank’s Energy Access Investments Through Energy Efficiency. http://documents1.worldbank.org/curated/en/875391468186565552/pdf/98193-WP-P151483-Box391505B-PUBLIC-World-Bank-EA-EE-Enhancing-WBs-Energy-Access-Investments-Through-Energy-Efficiency-FINAL-25-June-2015.pdf
  • Yazıtaş, F. (2018). Genel Enerji Görünümü ve Elektrik Piyasalarına Giriş. https://www.dunyaenerji.org.tr/wp-content/uploads/2018/09/FYazitasSunum22Eylul.pdf
  • Yurdakul, C. (2015). Determinants of Current Account Deficit in Turkey: The Conditional and Partial Granger Causality Approach. Procedia Economics and Finance, 26, 92-100.
  • Zhang, Z. X. (2014). Energy Prices, Subsidies and Resource Tax Reform in China. Asia and the Pacific Policy Studies, 1(3), 439- 454.
Toplam 46 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm MAKALELER
Yazarlar

Çiydem Çatak 0000-0001-7501-5969

Yayımlanma Tarihi 30 Nisan 2022
Yayımlandığı Sayı Yıl 2022 Sayı: 35

Kaynak Göster

APA Çatak, Ç. (2022). ENERGY DERIVATIVES- AN ANALYSIS OF THE TURKISH ELECTRICITY MARKET. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(35), 17-30. https://doi.org/10.18092/ulikidince.930399


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