Relationship between the COVID-19 pandemic and currency exchange rates studied by means of the Dynamic Time Warping method

• Authors: Joanna Landmesser-Rusek

Title variants

PL

Ocena zależności między pandemią COVID-19 a kursami walut za pomocą metody Dynamic Time Warping

Abstracts

PL

Pandemia COVID-19 wpłynęła na światowy system gospodarczy, w tym na kursy walut. Głównym celem badania omawianego w artykule jest ocena podobieństwa pomiędzy szeregami czasowymi kursów walut przed pandemią i w jej trakcie. Ponadto podjęto próbę zbadania relacji pomiędzy kursami walut a szeregami czasowymi dotyczącymi pandemii COVID-19 w poszczególnych krajach. Aby sprawdzić, czy i w jakim stopniu zmiany kursów walut są związane z rozprzestrzenianiem się COVID-19, zastosowano metodę dynamicznego marszczenia czasu (Dynamic Time Warping – DTW), umożliwiającą obliczenie odległości pomiędzy analizowanymi szeregami czasowymi. Pozwoliło to na pogrupowanie walut według ich zmian w stosunku do dynamiki pandemii. W badaniu wykorzystano dane pochodzące z serwisów internetowych Stooq i Our World in Data. Dane dla 17 walut denominowanych w dolarach nowozelandzkich pochodzą z okresu od 1 stycznia 2019 r. do 10 listopada 2021 r., a dane o pandemii COVID-19 – z okresu od 1 marca 2020 r. do 10 listopada 2021 r. Stwierdzono, że kursy walut kształtowały się odmiennie w okresie przed pandemią oraz w jej pierwszej i drugiej fazie. Wybuch pandemii doprowadził do koncentracji większości walut wokół dolara amerykańskiego (USD). Po odmrożeniu gospodarek nastąpiła polaryzacja rynku walutowego, na którym główne waluty świata skupiły się albo wokół USD, albo wokół euro.

EN

The COVID-19 pandemic affected the entire global economic system, including currency exchange rates. The main objective of this study is to assess the similarity between time series of currency exchange rates before and during the COVID-19 crisis. In addition, the study aims to examine the relationship between the exchange rates of currencies and the COVID-19 time series in particular countries. The Dynamic Time Warping (DTW) method was applied to check if changes in the exchange rates were related to the spread of COVID-19, and if they were, to what extent it was so. The use of the DTW allows the calculation of the distance between analysed time series. In this study, it made it possible to group the analysed currencies according to their change relative to the pandemic dynamics. The study is based on data from the Stooq and Our World in Data websites. Data on the 17 studied currencies denominated in the New Zealand dollar came from the period between 1 January 2019 and 10 November 2021, and the COVID-19 data from the period between 1 March 2020 and 10 November 2021. The results demonstrate that exchange rates evolved differently in all the three analysed periods: the pre-pandemic period and the first and the second phase of the pandemic. The outbreak of the pandemic led to the concentration of most currencies around the US dollar. However, when the economies unfroze, a polarisation of the currency market occurred, with the world’s major currencies clustering either around the US dollar or the euro.

Keywords

EN

currency exchange rates; COVID-19 pandemic; Dynamic Time Warping; DTW

PL

kursy walut; pandemia COVID-19; dynamiczne marszczenie czasu; DTW

• Publisher: Główny Urząd Statystyczny
• Journal: Wiadomości Statystyczne. The Polish Statistician
• Year: 2022
• Volume: 67
• Issue: 5
• Pages: 1-23

Dates

published

2022

Contributors

author

Joanna Landmesser-Rusek

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, Instytut Ekonomii i Finansów / Warsaw University of Life Sciences, Institute of Economics and Finance

• https://orcid.org/0000000172868536

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Identifiers

DOI

10.5604/01.3001.0015.8535

Biblioteka Nauki

2106613