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New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications

  • Babula, Ronald A.
  • Price, Gregory K.
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    This study details the U.S. Commodity Futures Trading Commission's significant price discovery regulatory authority over exempt, over-the-counter contracts, as introduced in 2008. A vector autoregressive model is used to conclude that three cash-settled natural gas contracts traded on the IntercontinentalExchange are significant price discovery contracts (SPDCs). Thus, this study demonstrates the methods’ use in analyzing the new financial policy authority and other similar and evolving policies. The paper also discusses some of the policy implications of the SPDC determinations. Lastly, the authors address the transition of the Commission's SPDC authority as a result of the passage of the Dodd–Frank Wall Street Reform and Consumer Protection Act, which was signed into law in July 2010.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0161893812000063
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    Article provided by Elsevier in its journal Journal of Policy Modeling.

    Volume (Year): 34 (2012)
    Issue (Month): 3 ()
    Pages: 372-388

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    Handle: RePEc:eee:jpolmo:v:34:y:2012:i:3:p:372-388
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505735

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    7. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
    8. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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