Spot natural gas prices affecting factors of the panel data analysis: Suggestions for Turkey

This study aims to analyze whether there is a relation between natural gas spot prices and oil, gold, coal prices and real effective exchange rate index and gas demand. With results of the analyse, natural gas spot markets to be established in Turkey has tried to determine what will be affected and suggestions have been made. In this study, five countries' prices of natural gas spot markets that succesfully operated and monthly data for the January 2010-March 2018 period were used. In order to examine the relationship between natural gas spot prices and independent variables, cross-section dependence, unit root, cointegration and causality tests were applied. Then static and dynamic panel data models were used to analyze the variables. Static panel data models are not suitable for operation and have been shown to give erroneous results. For this reason, the results of the system GMM model of Arellano-Bover / Blundell-Bond in dynamic panel data models which include lagged variable of gas spot pirce are taken as basis. In the model applied in the study, oil, gold and coal prices, real effective exchange rate index, demand and lagged variable of natural gas spot price are reached as the explanatory variables of natural gas spot prices. After results of model, recommendations regarding the spot market to be established in Turkey are presented.