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

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  • Babula, Ronald A.
  • Price, Gregory K.

Abstract

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.

Suggested Citation

  • Babula, Ronald A. & Price, Gregory K., 2012. "New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 372-388.
    • Handle: RePEc:eee:jpolmo:v:34:y:2012:i:3:p:372-388
    DOI: 10.1016/j.jpolmod.2011.12.004
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    References listed on IDEAS

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    More about this item

    Keywords

    Significant price discovery contracts; Natural gas; Exempt commercial markets; Time series methods; Vector autoregression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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