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

Krzysztof Dmytrów,Beata Bieszk-Stolorz,Joanna Landmesser

doi:10.3390/en14134024

Krzysztof Dmytrów, Beata Bieszk-Stolorz + Show 1 more

Open Access

https://doi.org/10.3390/en14134024

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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, CO2 allowances, and ethanol are strongly associated with the development of the pandemic.

Highlights

We organise the manuscript as follows: in Section 2 (Literature Review), we present the current research in the field of relationships between the spread of the COVID-19 pandemic on various aspects of the global economy, including the prices of energy commodities
With accordance to the timeline of the COVID-19 pandemic, we perform the research in four periods:
The energy commodities have recouped their losses from the COVID-19 pandemic

Summary

Introduction

The impact of COVID-19 cannot be compared to any previous global crisis because the challenges of the current pandemic are much greater than during previous events. This is mainly due to the fact that we live in a much more globalised world. The introduction of various types of lockdowns and the fear of the effects of the disease encompassing the whole of society lead to an amplification of its negative effects [1]. This should be managed effectively [2,3]

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