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Integrating swaps and futures: A new direction for commodity research

Scott Mixon, Esen Onur () and Lynn Riggs

Journal of Commodity Markets, 2018, vol. 10, issue C, 3-21

Abstract: This paper introduces new regulatory data that provides unprecedented visibility into swaps positions of dealers and their counterparties. Our analysis suggests that, contrary to common perception, commercial end-users have a larger footprint in the WTI crude oil swaps space than financial end-users do. Commercial end-users’ swaps exposure is larger than their futures exposure, and they are net short in both markets. Financial end-users are smaller in swaps than in futures and are net long in both. Dealers perform a substantial amount of intermediation among market participants. We conclude that joint examination of swaps and futures data facilitates many new directions for commodity research.

Keywords: G13; L71; Q41; Swaps market; Futures market; WTI crude derivatives (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.jcomm.2017.06.001

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Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

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