$do$
BEGIN
    FOR yyyy in 2012..2016 THEN
        EXECUTE $$COPY table$$||yyyy||$$ FROM 'E:datafile$$||yyyy||$$.csv DELIMITER ',' CSV;$$;
    END LOOP;
END;
$do$ LANGUAGE plpgsql

BEGIN;

DO $$
  -- function stuff

  -- but if you use a exception, you will force a rollback
  RAISE EXCEPTION 'message';
$$ LANGUAGE 'plpgsql';

COMMIT; -- OR ROLLBACK