THE TOPOLOGICAL STRUCTURE OF THE GLOBAL FOREIGN EXCHANGE MARKET DURING CRISES – COMPARATIVE NETWORK ANALYSIS
THE TOPOLOGICAL STRUCTURE OF THE GLOBAL FOREIGN EXCHANGE MARKET DURING CRISES – COMPARATIVE NETWORK ANALYSIS

Summary/Abstract: Purpose – The aim of this article was to assess the changes in the topological structure of the currency market caused by two crises: the COVID-19 pandemic in 2020 andRussia’s aggression against Ukraine in 2022. A network of major world currencies wasanalysed over three six-month sub-periods: the pandemic period 1.02–31.07.2020, thewar period 1.02–31.07.2022 and the reference period 1.02–31.07.2021.Research method – We have used the dynamic time warping (DTW) method forcomparing time series. DTW distances between pairs of individual currencies were cal‑culated, and, based on them, minimum spanning trees (MST) were constructed, whosetopological characteristics were analysed.Results – It turned out that the topological structure of the foreign exchange marketvaries in the sub-periods studied, and the analysed crises affected the currency network.In addition, the networks generated by the MST depend on the choice of base currencyused to measure the value of all other currencies.Originality   / value   / implications   / recommendations – The significance of the results obtained lies in providing a description of the topological structure of the market during the observed crises. The detected hierarchical structures can be useful in theoretical de‑scriptions of currencies and in the search for economic factors affecting specific groups of countries.

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