The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method
Krzysztof Dmytrów (),
Joanna Landmesser () and
Beata Bieszk-Stolorz ()
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Krzysztof Dmytrów: Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Joanna Landmesser: Institute of Economics and Finance, Warsaw University of Life Sciences, 02-787 Warsaw, Poland
Beata Bieszk-Stolorz: Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Energies, 2021, vol. 14, issue 13, 1-23
The main objective of the study is to assess the similarity between the time series of energy commodity prices and the time series of daily COVID-19 cases. The COVID-19 pandemic affects all aspects of the global economy. Although this impact is multifaceted, we assess the connections between the number of COVID-19 cases and the energy commodities sector. We analyse these connections by using the Dynamic Time Warping (DTW) method. On this basis, we calculate the similarity measure—the DTW distance between the time series—and use it to group the energy commodities according to their price change. Our analysis also includes finding the time shifts between daily COVID-19 cases and commodity prices in subperiods according to the chronology of the COVID-19 pandemic. Our findings are that commodities such as ULSD, heating oil, crude oil, and gasoline are weakly associated with COVID-19. On the other hand, natural gas, palm oil, CO 2 allowances, and ethanol are strongly associated with the development of the pandemic.
Keywords: energy commodity prices; COVID-19 pandemic; Dynamic Time Warping (DTW); hierarchical clustering (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jeners:v:14:y:2021:i:13:p:4024-:d:588218
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