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The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

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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)

Abstract

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.

Suggested Citation

  • Krzysztof Dmytrów & Joanna Landmesser & Beata Bieszk-Stolorz, 2021. "The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method," Energies, MDPI, vol. 14(13), pages 1-23, July.
  • Handle: RePEc:gam:jeners:v:14:y:2021:i:13:p:4024-:d:588218
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    5. Beata Bieszk-Stolorz & Krzysztof Dmytrów, 2023. "Decent Work and Economic Growth in EU Countries—Static and Dynamic Analyses of Sustainable Development Goal 8," Sustainability, MDPI, vol. 15(18), pages 1-18, September.
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    10. Yuriy Bilan & Serhiy Kozmenko & Alex Plastun, 2022. "Price Forecasting in Energy Market," Energies, MDPI, vol. 15(24), pages 1-6, December.
    11. Olga Pilipczuk, 2021. "Determinants of Managerial Competences Transformation in the Polish Energy Industry," Energies, MDPI, vol. 14(20), pages 1-27, October.
    12. Capitani, Daniel Henrique Dario & Gaio, Luiz Eduardo, 2023. "Volatility Transmissionin Agricultural Markets: Evidence from the Russia-Ukraine Conflict," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 11(2), April.
    13. Hong Shen & Qi Pan & Lili Zhao & Pin Ng, 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover," Energies, MDPI, vol. 15(7), pages 1-21, March.
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    15. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
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    17. Thobekile Qabhobho & Anokye M. Adam & Emmanuel Asafo-Adjei, 2023. "Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 666-678, November.
    18. Berezka Kateryna & Kovalchuk Olha, 2023. "The Application of Association Rules to Detect the Effects of Vaccinations against Covid-19 in the EU-27. Preliminary Estimates," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 27(1), pages 1-16, March.
    19. Grzegorz Zych & Jakub Bronicki & Marzena Czarnecka & Grzegorz Kinelski & Jacek Kamiński, 2023. "The Cost of Using Gas as a Transition Fuel in the Transition to Low-Carbon Energy: The Case Study of Poland and Selected European Countries," Energies, MDPI, vol. 16(2), pages 1-13, January.

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